Original title: Kreditní riziko
Translated title: Credit Risk
Authors: Babiaková, Monika ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
Document type: Master’s theses
Year: 2008
Language: slo
Abstract: The main topic of this diploma thesis is the credit risk (default risk) modeling from the portfolio view. The work is introduced by a brief description of credit risk measures and a review of models. The largest part of this thesis is focused on a description of factor models, such as simulation-based KMV and CreditMetrics resulting from Merton's model of a firm and analytical CreditRisk+ utilizing actuarial mathematics procedures. The alternative models based on a conditional independence and importance sampling are also described. The second part of the work contains a description of Mathematica programmes resulting from the models. These programmes are consequently used to analyze a credit risk of a sample coupon obligations portfolio. To make the results comparable the emphasis is placed on calibration of a particular models. The thesis is concluded by comparison of these models in terms of their usability.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/14202

Permalink: http://www.nusl.cz/ntk/nusl-290229


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses