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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Komerční banky: Měření kreditního rizika interním ratingem bank
 Kolínková, Vendula
Kolínková, V. Commercial banks: Measurement of credit risk by internal bank ratings. Bachelor thesis. Brno: Mendel University, 2018. This Bachelor thesis deals with an analysis of the current state of credit risk management approaches of commercial banks and defines advantages and disadvantages of Standardized approach and IRB approach. Using the regulation (EU) No 575/2013 of the European Parliament and of the Council deals in detail with the legislation of these approaches. This analysis implies that banks have to use several factors to assess the IRB approach contribution in the form of capital savings or a relatively simple calculation of the Standardized approach.
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Basel II. and the calculation of the capital requirement relating to credit risk
 Netolická, Klára ; Blahová, Naděžda (advisor)
The bachelor thesis focuses on the calculation of the capital requirement concerning credit risk from the perspective of the Basel II. capital agreement. Firstly, a broader framework is introduced, treating capital adequacy and the preceding concepts that were followed by the Basel II. approaches. Subsequently, the thesis deals with two alternative calculations between which banks can choose -- the standardized approach and the internal ratings based approach, with an emphasis on the latter. The author proceeds from a general formulation of the calculation to its particular elements. Fairly detailed treatment is given to the inference of the risk weight function and to the methods of estimating the probability of default, one of the function's parameters.
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