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master's thesis
VAR pristup: Creditmetrics
Zagreb: University of Zagreb, Faculty of Science, 2019. urn:nbn:hr:217:882890
Bokšić, Ana
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Bokšić, A. (2019). VAR pristup: Creditmetrics (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:882890

Bokšić, Ana. "VAR pristup: Creditmetrics." Master's thesis, University of Zagreb, Faculty of Science, 2019. https://urn.nsk.hr/urn:nbn:hr:217:882890

Bokšić, Ana. "VAR pristup: Creditmetrics." Master's thesis, University of Zagreb, Faculty of Science, 2019. https://urn.nsk.hr/urn:nbn:hr:217:882890

Bokšić, A. (2019). 'VAR pristup: Creditmetrics', Master's thesis, University of Zagreb, Faculty of Science, accessed 23 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:882890

Bokšić A. VAR pristup: Creditmetrics [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2019 [cited 2024 December 23] Available at: https://urn.nsk.hr/urn:nbn:hr:217:882890

A. Bokšić, "VAR pristup: Creditmetrics", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:217:882890

Metadata
TitleVAR pristup: Creditmetrics
AuthorAna Bokšić
MentorBoris Podobnik (mentor)
Committee memberBoris Podobnik (predsjednik povjerenstva)
Committee memberSnježana Lubura Strunjak (član povjerenstva)
Committee memberIgor Ciganović (član povjerenstva)
Committee memberIgor Pažanin (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2019-09-25, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Otkako je Banka za međunarodna poravnavanja definirala zahtjeve na kapitalne rezerve VaR metodologija postajala je sve važnija u bankovnoj praksi. Bankama je dozvoljeno koristiti vlastite interne modele za računanje izloženosti kreditnom riziku. Prvo uvodimo osnovne koncepte VaR-a, a onda gledamo njegovo potencijalno proširenje na neutržive kredite, te njegovu ulogu u računanju kapitalnih pričuva banke. Posebnu pažnju poklanjamo CreditMetrics-u originalno predloženom od strane J.P. Morgana. CreditMetrics predstavlja korisno pomagalo u VaR modeliranju kreditiranja. Primjenjujemo koncepte kao što su Generalizirana Pareto distribucija s teškim repovima i procjena neočekivanih gubitaka primjenom teorije ekstremne vrijednosti. Predstavljamo metodologiju modela koji koristi Monte Carlo simulaciju za procjenu različitih mjera kreditnog rizika. Na kraju iznosimo rezultate simulacije za hipotetski portfelj obveznica.
Abstract (english)
Since the Bank for International Settlements introduced capital requirements for market risk, VAR methodologies have become more and more important in banking. Certain banks were allowed to develop and use internal VAR models for calculating the exposure to credit risk. Firstly, we review basic VAR concept and then look at its potential extension to nontradable loans and its use in calculating the bank's capital requirement. Special attention is paid to J.P.Morgan's CreditMetrics, which is a useful tool in VAR modelling for credit risk. We apply concepts such as Generalized Pareto distribution with heavy tails and estimate unexpected loss using extreme value theory. We introduce the methodology for Monte Carlo simulation used to assess different credit risk measures. Lastly, we carry out the results of the simulation for a hypothetical loan portfolio.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:882890
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 on2020-01-13 10:52:51