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Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
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Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
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Concentration Risk
Marchalínová, Zuzana ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
The goal of this thesis is to measure the concentration risk of a portfolio as a part of a investment risk considered from the view of insurance companies by various methods and also to compare achieved results. Concentration risk in credit portfolios originates in uneven distribution of invested funds to individual obligors and it is important to manage it. In the theoretical part there are two methods presented - one is being used in practice CreditMetrics), the other one, the EU Directive, will be put into effect in the near future (Solvency II). In the practical part the methods are applied on model portfolios and the results are compared in order to decide how the methods reflect the concentration risk.
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Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
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Credit risk
Srbová, Eliška ; Herman, Jiří (advisor) ; Hurt, Jan (referee)
This thesis deals with credit risk and selected methods of its evalua- tion. It is focused on assumptions, calculation methods, results and specifics of the CreditMetrics and the CreditRisk+ models. The CreditRisk+ model analytically determines the portfolio credit losses distribution that is caused by defaults of counterparties. In the CreditMetrics model, the credit migration risk is addition- ally considered and the future portfolio value distribution is calculated using the Monte Carlo simulation. The third approach covered in this thesis is the Solvency II, the set of requirements proposed by the European Union for determination of regulatory capital for insurance companies. In the practical part the three ap- proaches are applied on a set of three portfolios of different credit quality. Their results, particularly the determined level of capital required to cover the risk of unexpected credit losses, are analyzed and compared.
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Modelování portfoliového kreditního rizika
Kolman, Marek ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strengths/drawbacks of every scrutinized model. Subsequently, in the applied part we test the models in a lab-environment but with real-world market data. Noticeable stress is also put on model calibration. This enables us to con firm/reject the assumptions we made in the theoretical part. In the very end there follows a straightforward general overview of all outputs and a conclusion.
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Credit risk measurement
Sobotka, Jan ; Blahová, Naděžda (advisor)
The main goal of the thesis is a description of methods for measuring credit risk and a detailed analysis of its quantification by using the structural model CreditMetrics. This thesis is primarily dividend into three parts. The first chapter deals with the credit risk, its structure, specific charakteristics and its connection with the other financial risks. The second chapter examines the charakteristics and metodology of calculating credit risk by using structural model CreditMetrics. In the third chapter of this thesis is the model applied to a portfolio consisting of one, and then two bonds. There are assessed the strengths and weaknesses of the model in conclusion and this part also summarizes the results obtained.
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Methods of the calculation of Value at Risk for the market and credit risks
Štolc, Zdeněk ; Witzany, Jiří (advisor) ; Paholok, Igor (referee)
This thesis is focused on a theoretical explication of the basic methods of the calculation Value at Risk for the market and credit risk. For the market risk there is in detail developed the variance -- covariance method, historical simulation and Monte Carlo simulation, above all for the nonlinear portfolio. For all methods the assumptions of their applications are highlighted and the comparation of these methods is made too. For the credit risk there is made a theoretical description of CreditMetrics, CreditRisk+ and KMV models. Analytical part is concerned in the quantification of Value at Risk on two portfolios, namely nonlinear currency portfolio, which particular assumptions of the variance -- covariance method a Monte Carlo simulation are tested on. Then by these methods the calculation of Value at Risk is realized. The calculation of Credit Value at Risk is made on the portfolio of the US corporate bonds by the help of CreditMetrics model.
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