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Calculation of the Credit Value at Risk
 Zamazal, David ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
Thesis describes calculation of the credit value at risk for portfolio composed of traditional bank loans. The risk is measured by incurred expected and unexpected losses at the end of some time horizon. Thesis is splitted into two parts - theoretical part and computational part. The most known and most widely used models are described in the first part, in conjunction with definition of their main input parameters - probability of default, exposure at default, loss given default and correlation between debtors. Detailed theoretical description of two chosen methods comes after - CreditMetrics method and Vasicek's method. The examined portfolio is characterized in the computational part, along with other input parameters, essential for evaluation. Then model implementation into software Mathematica is described, evaluation run and the results. Eventually both methods are compared.
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