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Metrics used in credit risk
Kožár, Ondrej ; Luc, Ladislav (advisor) ; Franěk, Petr (referee)
This thesis focuses on the issue of metrics used in credit risk. Specifically, the capital requirement, the NPL share and risk costs. The first section describes the credit risk and with what metrics can be measured. In this section you can also find out what parameters are required for their intended use, these parameters are the Probability of default, Amortization, Exposure, NPL and the Loss given default . The practical part of this work is devoted to the analysis of the situation in the Česká spořitelna and design solutions to identified problems. From this analysis crystallize two fundamental problems arising from lack of employee familiarity with metrics used in credit risk .For their solution is to use the first part of this paper an overview of metrics with clarifying some key features. The aim of this work was to create a comprehensive list of metrics used in credit risk, an explanation of their interaction and the use of tools to solve the problem situation in the Česká spořitelna.
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Analýza možností aplikace metody QTRA v podmínkách ČR na příkladu parku a uličního stromořadí
Kolaříková, Anna
The trees are living organisms. They have specific necessity of Libiny conditions. City environment is very diffrent than natural environment. Therefore trees must overcome lot of problems. This problems are called stressors. The stressors are limiting factors of vitality and physiologic age. They affect tree safety operating. In order to trees could grow and could be on cities, is necessary precedes their risk (for example fall of tree branch or all individual). The risk could cause danger of human life, health or property. Some methods of evaluation biomechanice and health of trees were invented due to risk. The method of AOPK is using in ČR in current epoch. AOPK evaluates age, vitality and physiologic age , but not evaluates important stressors time factor. For it was test QTRA method in park and tree-lined avenue. This method evaluates environment of trees. The QTRA systém applicate principally in Great Britain where origin.
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Internal rating method as an instrument to value credit risk
Heinzel, Lukáš ; Jablonský, Petr (advisor) ; Prokop, Martin (referee)
This thesis is focused on the internal rating method as an instrument to value the credit risk. Firstly, it is aimed on the general method of measurement and control over the credit risk in banks, then there is introduced a process how to develop Basel regulation. Basel II. agreement, which is the focal point of this thesis, allows banks to use standardized approach or IRB method to evaluate the credit risk. After the definition of the standardized method the author focuses on IRB method. There are introductory IRB notes, then it is concentrated on an approval of using this approach by a regulator. The main part of the thesis is given to the calculation of the capital requirement by IRB method. Descriptions of the general formulas and risk parameters are described there. The calculation is demonstrated by a real illustration.
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Comparison of approaches to creating credit scoring models
Hofman, Elena ; Šedivý, Jan (advisor)
This work is focused on the management of a credit risk related to the traditional bank lending business to individuals. The paper deals with a theory of measuring risk with help of PD (Probability of Default) parameter when different scoring models are used. The goal is to outline an issue with the credit risk and its management in general, attention is paid to details of a process of creating scoring models. There are three specific modeling techniques listed, namely logistic regression, decision trees and neural networks. Methods are explained in detail and are given possibilities of mutual comparison. The application part is devoted to the evaluation and comparison of credit scoring models based on these methods.
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