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Abstrakty
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)
Rocznik
Strony
119--134
Opis fizyczny
Twórcy
autor
- VŠB-Technical University of Ostrava, Czech Republic
autor
- 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.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171263129