Credit Risk Management : Value at Risk Approach on the Basis of Monte Carlo

• Autorzy: Dana Forišková , Josef Volný
• Języki publikacji: EN

Abstrakty

EN

This paper is devoted to the description and the application of Value al Risk methodology by using Monte Carlo approach. First, VaR methodology and the methodology of modeling rating migration using CreditMetrics approach are described. Simulation is applied on model sample of credit portfolio, VaR1%, VaR5% and Economic capital is calculated. Results are commented. (original abstract)

Słowa kluczowe

EN

Banks; Credit instruments; Banking risk; VaR method; Monte Carlo method

PL

Banki; Instrumenty kredytowe; Ryzyko bankowe; Miernik ryzyka (VaR); Metoda Monte Carlo

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2006
• Tom: Współczesne problemy finansów, bankowości i ubezpieczeń w teorii i praktyce. T. 1
• Strony: 119--134

Twórcy

autor

Dana Forišková

• VŠB-Technical University of Ostrava, Czech Republic

autor

Josef Volný

• VŠB-Technical University of Ostrava, Czech Republic

Bibliografia

• BBA. ISDA, RMA Operational Risk Study, September 2002.
• Longerstaey J., Spencer M.: RiskMetrics(tm) Technical Document. New York: J.P. Morgan/Reuters, 1996, p. 283.
• Glasserman P.: Monte Carlo Methods in Financial Engineering. New York: Springer, 2003, p. 596.
• Gupton G.M., Finger C.C., Bhatia M.: CreditMetrics(tm) Technical Document. New York: J.P. Morgan, 1997, p. 199.
• Holton G.A.: Value at Risk - Theory and Practice. London: Academic Press, 2003, p. 405.
• Merton R.C.: On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, Vol. 211974, p. 449-470.
• Gupton G.M., Finger C.C., Bhatia M.: CreditMetrics Technical Document. New York: J.P. Morgan, 1997, p. 199.
• Kadlčaková N., Keplinger J.: Credit risk and bank lending in the Czech Republic. The Working paper series of the Czech National Bank. vol. 6. Praha: Czech National Bank. August 2004, p. 45.