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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Determining the Exposition Measure of the Credit and Market Risk Using the VaR Methods
 Friedrichová, Andrea ; Stařík, David (advisor) ; Benková, Markéta (referee)
The thesis examines the share of market and credit exposition on the total rate of risk of an equity index. The paper describes models for estimation of market risk using the Value-at-Risk methods, which are the parametric approach, the historical simulation and the Monte Carlo simulation. Further, it describes the estimation of credit risk using the Value-at-Risk. The main goal is to descibe and then to adopt in practise three methods for calculating integrated VaR: integrated VaR model based on historical data, integrated VaR with regard to the covariance between market and credit risk and integrated VaR based on the parametric approach to VaR. These methods are applied to selected equities of the index S&P 500 and compared.
Detailed record
Determining the Exposition Measure of the Credit and Market Risk Using the VaR Methods
 Friedrichová, Andrea ; Stařík, David (advisor) ; Benková, Markéta (referee)
The thesis examines the share of market and credit exposition on the total rate of risk of an equity index. The paper describes models for estimation of market risk using the Value-at-Risk methods, which are the parametric approach, the historical simulation and the Monte Carlo simulation. Further, it describes the estimation of credit risk using the Value-at-Risk. The main goal is to descibe and then to adopt in practise three methods for calculating integrated VaR: integrated VaR model based on historical data, integrated VaR with regard to the covariance between market and credit risk and integrated VaR based on the parametric approach to VaR. These methods are applied to selected equities of the index S&P 500 and compared.
Detailed record

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