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master's thesis
Modeliranje korelacija u kreditnom portfelju
Zagreb: University of Zagreb, Faculty of Science, 2016. urn:nbn:hr:217:683082
Bačić, Katarina
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

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Bačić, K. (2016). Modeliranje korelacija u kreditnom portfelju (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:683082

Bačić, Katarina. "Modeliranje korelacija u kreditnom portfelju." Master's thesis, University of Zagreb, Faculty of Science, 2016. https://urn.nsk.hr/urn:nbn:hr:217:683082

Bačić, Katarina. "Modeliranje korelacija u kreditnom portfelju." Master's thesis, University of Zagreb, Faculty of Science, 2016. https://urn.nsk.hr/urn:nbn:hr:217:683082

Bačić, K. (2016). 'Modeliranje korelacija u kreditnom portfelju', Master's thesis, University of Zagreb, Faculty of Science, accessed 18 January 2025, https://urn.nsk.hr/urn:nbn:hr:217:683082

Bačić K. Modeliranje korelacija u kreditnom portfelju [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2016 [cited 2025 January 18] Available at: https://urn.nsk.hr/urn:nbn:hr:217:683082

K. Bačić, "Modeliranje korelacija u kreditnom portfelju", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2016. Available at: https://urn.nsk.hr/urn:nbn:hr:217:683082

Metadata
TitleModeliranje korelacija u kreditnom portfelju
AuthorKatarina Bačić
MentorSiniša Slijepčević (mentor)
Committee memberSiniša Slijepčević (predsjednik povjerenstva)
Committee memberGoran Muić (član povjerenstva)
Committee memberMaja Starčević (član povjerenstva)
Committee memberBoris Širola (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2016-09-23, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
U ovom diplomskom radu cilj je pružiti pristupačan uvod u temelje modeliranja kreditnog portfelja. Krećemo do osnovnih pojmova iz vjerojatnosti i statistike, a zatim postupno ulazimo u svijet upravljanja kreditnim rizikom kroz pojmove očekivanog i neočekivanog gubitka, gdje možemo vidjeti i bitnu ulogu korelacija, te distribucije gubitka i načina kako je dobiti. Zatim, krećemo s modeliranjem koreliranih defaulta pomoću dva pristupa. Uz teoretsku podlogu, upoznajemo i modele predstavnike tih pristupa. Također, specifikacijom uvodimo jednofaktorski (CreditMetrics\(^{TM}\) /KMV), odnosno jednosektorski (CreditRisk\(^+\)) model te nakon njihove usporedbe završavamo praktičnim primjerom.
Abstract (english)
This thesis goal is to provide accessible introduction to the foundations of the credit portfolio modelling. We start from the basic concepts of probability and statistics, and then gradually enter the world of credit risk management through the terms of the expected and unexpected loss (where we first see the important role of the correlations), distribution loss and ways to get it. Then, we use two approaches to the modeling of correlated defaults and get introduced to representatives of these approaches. We also look in more detail at portfolios with uniform dependency structure, namely one-factor (CreditMetrics \(^{TM}\) /KMV), respectively one-sector (CreditRisk\(^+\)) models and after their comparison we conclude this thesis with working example
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:683082
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2017-05-09 10:43:33