Analýza dat a závislá selhání v modelech kreditního rizika

• Thesis title in Czech: Analýza dat a závislá selhání v modelech kreditního rizika
• Thesis title in English: Data Analysis and Dependent Default in Credit Risk Models
• Academic year of topic announcement: 2005/2006
• Type of assignment: diploma thesis
• Thesis language: čeština
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Jan Hurt, CSc.
• Reviewers: RNDr. Jitka Zichová, Dr.

Guidelines

Diplomantka prostuduje a pojedná o modelech kreditního rizika. Zaměří se na modely uvedené v metodikách CreditMetrics a CreditRisk+ (případně KMV) a na modely s dynamickou intenzitou [12]. Pojedná o simulačních metodách a numerických technikách vhodných pro řešení komplikovanějších úloh oceňování kreditního rizika. Dále porovná různé numerické postupy na reálných datech.

References

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Preliminary scope of work

Analýza dat a závislá selhání v modelech kreditního rizika

Preliminary scope of work in English

Data Analysis and Dependent Default in Credit Risk Models