Použití markovských řetězců v modelech kreditního rizika

Abstract

Credit risk management has become the key instrument for better portfolio diversification and related minimalization of possible loss. Upon the credit risk management we can estimate amount of company's loss brought with creditworthiness of its obligors. Lots of models dealing with credit risk have been developed and most of them are based on Markov Chains theory. This theory also makes up the basis of CreditMetrics, the model which we introduce. Rating migration matrix is the basic input into this model. Two chapters are concerned with constructing and modifying of such matrices. Other chapters deal at firs with general simulation and data analysis on the real credit portfolio come after. CD with input data and computational procedure in Mathematica is also added. The code is pasted as an appendix, too.