Přispěvek se zabýva porovnanim stres test modelů instituci využivajici pro stanoveni kapitaloveho požadavku metodu IRBA. Pro konstrukci stres testů bylo využito různých přistupů k determinaci hodnot rizikových parametrů PD, EAD a LGD. Kromě modelu VEC, který provazuje rizikove parametry a vybrane makroekonomicke veliciny, byly konstruovany stres testy pomoci modelu absolutnich hodnot, modelu relativnich změn a modelu VaR, resp. CVaR. Jednotlive přistupy byly testovany a vzajemně porovnany ve dvou urovnich. V prvni urovni dochazelo pouze k stresovani rizikoveho parametru PD a nasledně ve druhe urovni vsech rizikových parametrů. Empirickou analýzou na realnem portfoliu retail klientely působici na uzemi Ceske republiky v obdobi 2005 - 2017 byly mezi některými přistupy prokazany výrazne rozdily v hodnotě kapitalu. Rovněž bylo prokazano, že užitim vhodne metody při stresovani pouze parametru PD, lze dosahnout totožne hodnoty kapitalu jako v připadě stresovani vsech rizikových parametrů simulujici podminky požadovane Basilejským výborem.

/pdf/porovnani-stres-test-modelu-pro-regulatorni-ucely-instituci-11att0jv0v.pdf

Porovnání stres test modelů pro regulatorní účely institucí využívajících IRBA metodu

The Credit Risk in a Stock Portfolio : A Method to Evaluate the Credit Risk from the Perspective of an Investor

http://umu.diva-portal.org/smash/get/diva2:738023/FULLTEXT01

Handle everyday research tasks with reliable, citation-backed results

Your personal Research Agent to handle research tasks with citation-backed results

Popular Tasks used by Researchers

How can I help with your research?

Meet SciSpace

Get more enhanced response by uploading the PDFs you want me to reference.

No relevant PDFs in your library

SciSpace is the AI research assistant for academics. Run systematic literature reviews on 280M+ papers, and write papers with cited sources. Trusted by 1M+ students, PhDs & researchers.

SciSpace | AI for Research

Analyze PDFs

Code & Manuscripts

Funding & Grants

Literature & Patents

Medical & Clinical Data

Systematic Review

Visualize & Present

Web & Data

Build a Google Scholar-like website for your research.

Build a website

Create charts and images for your research

Create a Chart

Write a paper for submission to a journal

Draft a manuscript

Patent Search

Design eye-catching scientific posters in minutes.

Scientific Poster Generation

Systematic Literature Review

One task is running at the moment. Your messages will be shown right after.

Drag and drop or click here to browse

Loved by <highlight>1 million+</highlight> researchers

Extract a list of specific topics and their sources from unstructured text

Topics

Compare and analyze relevant papers that matches with your search

Papers

Get insights from PDFs and bookmarked papers from your library

My library

Recent searches

Try searching for:

Catch AI-generated content in scholarly and non-scholarly content

{ai} Detector

Ai Writer

Get PDF Summaries, highlighted text explanations 

Chat with PDF

Effortlessly create in-text citations and bibliographies in APA and 2,500 other formats

Citation generator

Get explanations, summaries, and answers on academic papers

Ease up your research workflow with {scispace}'s cohort of exciting AI tools

Elevate your academic writing skills and convey your ideas the way you want

Paraphraser

Explore our range of reading and writing tools

Your file is being prepared and should be ready in a few minutes. If it's a large file, it might take a bit longer. You can close this window, and we'll email you the file when it's done.

You have reached a maximum limit of <strong>{limit}</strong> columns in the table. Remove at least <strong>1</strong> column to add or create another one.

Joacim Lindgren

Author Tools

Chat about Author

Papers

The Credit Risk in a Stock Portfolio : A Method to Evaluate the Credit Risk from the Perspective of an Investor