The determination of lending (credit) risk is one of the most important fields of bank activities. This thesis discusses the IRB approach under Basel II. This approach includes the LGD, EAD and PD parameters. All parameters are individually modelled by the bank using regulator approved models. Parameter PD is the most focused one in this thesis. Theory for this parameter is of interest in many papers. However, at present the need for modelling of PD parameter over more years is appearing. Parameter LGD is also discussed in this thesis. The parameter EAD is only briefly presented. The thesis begins with the IRB approach, regression models and evaluation indicators, and then it focuses on the above parameters.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:327843 |
| Date | January 2013 |
| Creators | Malec, Jaromír |
| Contributors | Kopa, Miloš, Lachout, Petr |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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