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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Selected risk parameters in IRB approach and their modeling
 Malec, Jaromír ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
The determination of lending (credit) risk is one of the most important fields of bank activities. This thesis discusses the IRB approach under Basel II. This approach includes the LGD, EAD and PD parameters. All parameters are individually modelled by the bank using regulator approved models. Parameter PD is the most focused one in this thesis. Theory for this parameter is of interest in many papers. However, at present the need for modelling of PD parameter over more years is appearing. Parameter LGD is also discussed in this thesis. The parameter EAD is only briefly presented. The thesis begins with the IRB approach, regression models and evaluation indicators, and then it focuses on the above parameters.
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Probability distributions in finance
 Malec, Jaromír ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
This thesis presents a summary of distributions suitable for modelling returns and losses. First discusses the basic properties of returns and losses, and then on specific distributions. Particular emphasis is placed on the asymmetric distribution and distribution with heavy tails. These distributions are discussed in depth, and the basic properties concerning the behaviour of tails are summarized. It is also supplemented with numerical observations on real data. The motive for writing this work is the inadequacy of symmetric distribution, because they are not good for modelling extreme returns and losses. The work should help people, who are interested in studying asymmetric distribution with heavy tails, as a source of further investigation.
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See also: similar author names
2 Malec, Jakub
2 Malec, Jan
2 Malec, Josef
1 Malec, Juraj
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