Markovské procesy a teorie kreditních rizik
| Thesis title in Czech: | Markovské procesy a teorie kreditních rizik |
|---|---|
| Thesis title in English: | Markov chains and credit risk theory |
| Key words: | kreditní riziko, markovské řetězce, odhady v markovských řetězcích, pravděpodobnost defaultu |
| English key words: | credit risk, markov chains, estimates in markov chains, probability of default |
| Academic year of topic announcement: | 2009/2010 |
| Thesis type: | diploma thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Michaela Prokešová, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 26.11.2009 |
| Date of assignment: | 26.11.2009 |
| Date and time of defence: | 28.05.2012 00:00 |
| Date of electronic submission: | 16.04.2012 |
| Date of submission of printed version: | 16.04.2012 |
| Date of proceeded defence: | 28.05.2012 |
| Opponents: | doc. RNDr. Petr Lachout, CSc. |
| Guidelines |
| Diplomantka pojedná o modelech kreditních rizik. Zaměří se na vícestavové modely, které jsou založeny na teorii Markovských řetězců. Bude diskutovat jejich předpoklady a odůvodněnost těchto předpokladů v praxi. Součástí práce bude numerická analýza dat. |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Morgan, J. P., Reuters: RiskMetrics - Technical Document. 4th ed., Morgan Guaranty Trust Company. New York 1996. [3] Credit Suisse Financial Products. Credit Risk+. Credit Suisse First Boston. www.csfb.com/creditrisk. 1997. [4] Bluhm, C. et al.: Credit Risk Modeling. Chapman & Hall/CRC. Boca Raton 2003. [5] Kiefer, M.N., Larson, C.E.: A simulation estimator for testing the time homogeneity of credit rating transitions, Journal of Empirical Finance 14 (2007), 818-835. [6] Jafry, Y., Schuermann, T.: Measurement, estimation and comparison of credit migration matrices, Journal of Banking and Finance 28 (2004), 2603-2639. dle domluvy a schopností řešitelky. |
| Preliminary scope of work |
| Markovské procesy a teorie kreditních rizik |
| Preliminary scope of work in English |
| Markov chains and credit risk theory |