In recent years many works employed the topic of the estimation of the asset value correlation from the portfolio of debtors and their properties. The results vary depending on the methods used or the data sets, on which the model was applied. The Master Thesis describes the methods of estimation of the asset value correlation from 5-year default performance of small and medium-sized enterprise (SME) debtors of Komercni Banka. Each method is firstly described in detail and then applied. Estimations of the asset value correlation are performed in rating and industrial homogeneous group. The conclusion contains a comparison of resulting capital with a former Basel correlation and the capital when our estimations of the asset correlation are used as a parameters. Powered by TCPDF (www.tcpdf.org)
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:337247 |
| Date | January 2015 |
| Creators | Pacovský, Matěj |
| Contributors | Kopa, Miloš, Dostál, Petr |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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