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Intensity based models of credit risk
Novosad, Jiří ; Blahová, Naděžda (advisor)
This thesis describes intensity based models of credit risk. The first chapter deals with credit risk in general. It describes classification of credit risk. Further it describes various methods of credit risk measuring. There are detailed analysed two models of credit risk in the second chapter. Concretely there are basic Jarrow-Turnbull model and upgrade Markov model which uses transition matrix of credit ratings. There are computed a few illustrative examples of both models in the application part of bachelor thesis. There are studied effects of some input data on Jarrow-Turnbull model.

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