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Modely kreditních rizik v závislosti na strmosti
Thesis title in thesis language (Slovak): | Modely kreditních rizik v závislosti na strmosti |
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Thesis title in Czech: | Modely kreditních rizik v závislosti na strmosti |
Thesis title in English: | Models of Credit Risk and Recovery Rate |
Academic year of topic announcement: | 2005/2006 |
Thesis type: | Bachelor's thesis |
Thesis language: | slovenština |
Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
Supervisor: | doc. RNDr. Jan Hurt, CSc. |
Author: | hidden - assigned and confirmed by the Study Dept. |
Date of registration: | 14.11.2005 |
Date of assignment: | 14.11.2005 |
Date and time of defence: | 27.09.2006 00:00 |
Date of electronic submission: | 27.09.2006 |
Date of submission of printed version: | 27.09.2006 |
Date of proceeded defence: | 27.09.2006 |
Opponents: | RNDr. Jitka Zichová, Dr. |
Guidelines |
Bude pojednáno o základních modelech kreditních rizik s pohledu možnosti částečného splacení dluhu v závislosti na strmosti (recovery rate). Přitom důraz bude kladen na pravděpodobnostní modelování. |
References |
[1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle River 2000. [3] Shaw, W.: Modeling Financial Derivatives with Mathematica. Cambridge University Press. Cambridge 1998. [4] Morgan, J. P., Reuters: RiskMetrics – Technical Document. 4th ed., Morgan Guaranty Trust Company. New York 1996. [5] Hurt, J.: Simulační metody. Skripta SPN. Praha 1982. [6] Fuchs, K.: Hodnocení portfolia opcí. Diplomová práce. UK MFF Praha 2003. [7] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998. [8] Haerdle, W., Kleinow, T., Stahl, G.: Applied Quantitative Finance. Springer. Berlin 2002. [9] Seydel, R.: Tools for Computational Finance. Springer. Berlin 2002. [10] Gamerman, D.: Markov Chain Monte Carlo. Chapman & Hall. London 1997. [11] Credit Suisse Financial Products. Credit Risk+. Credit Suisse First Boston. www.csfb.com/creditrisk. 1997. [12] Bluhm, C. et al.: Credit Risk Modeling. Chapman & Hall/CRC. Boca Raton, 2003. [13] Schoenbucher, P. J.: Credit Derivatives Pricing Models. Wiley. Chichester, 2003. [14] Cipra, T.: Praktický průvodce finanční a pojistnou matematikou. Ekopress. Praha, 2005. [16] Wilmott, P.: Introduces Quantitative Finance. Wiley. Chichester, 2001. [15] Cipra, T.: Kapitálová přiměřenost ve financích a solventnost v pojišťovnictví. Ekopress. Praha, 2002. [16] Hurt, J.: Stochastic Modelling of Pension Funds. Z. angew. Math. Mech. Vol. 77 Supplement 2, 1997, 577-8. |
Preliminary scope of work |
základní modely kreditních rizik s pohledu možnosti částečného splacení dluhu v závislosti na strmosti (recovery rate) |