The submitted diploma thesis deals with calculation of capital requirement according to New Basel Capital Accord and calculation of economical capital according to credit model CreditMetrics. The goal of the thesis is to submit hypothesis that level of capital requirement will be higher than economical capital. Analyses were undertaken on the bank loan portfolio made out of 5 corporate and another portfolio, which was gradually extended up to 1000 loans. 5 corporate loans were also examined by effects of correlation of assets and effects of recovery of assets.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:11114 |
| Date | January 2009 |
| Creators | Rothová, Adriána |
| Contributors | Málek, Jiří |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.002 seconds