03028ntm a22005057i 4500 000348838 CZ-PrVSE 20171029225108.0 m d cr n|||||||||| 171029s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Kolman, Marek vse2015859792 dis Pricing and modeling credit risk eng Pricing and modeling credit risk / Marek Kolman 2017 ?? stran : digital, PDF soubor Vedoucí práce: Jiří Witzany Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from various fields of credit risk modeling. In particular, it is shown (i) that the stock option market is a good source of credit information, (ii) how the reduced-form modeling framework can be extended to capture more complicated problems, (iii) that the double t copula together with a self-developed portfolio modeling framework outperforms the classical Gaussian copula approaches. Many other, partial findings are presented in the relevant chapters and some other results are also discussed in the Appendix. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas Portfolio risk Reduced-form models Credit risk Witzany, Jiří, 1966- vse2007429830 ths Kodera, Jan jx20050428029 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/60567/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/60567 Hlavní práce https://insis.vse.cz/zp/60567/posudek/oponent/50912 Oponentura https://insis.vse.cz/zp/60567/posudek/oponent/50913 Oponentura https://insis.vse.cz/zp/60567/priloha/14886 Přiloha k práci https://insis.vse.cz/zp/60567/podrobnosti dc:identifier NEPOSILAT VSKP vse60567 171027 60567