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| rdf:type
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| Description
| - Měření, výpočet a analýza kreditního rizika jsou klíčovými úkoly finančního rozhodování. Tyto modely jsou zpravidla řešeny jako stochastické. K základním metodologickým postupům patří CreditMetrics (J.P. Morgan), CreditRisk+ (Credit Suisse), KMV (KMV), CreditPortfdolio View (McKinsey). Metodologie CreditMetrics je založena na matici pravděpodobností přechodu. Avšak zejména v malých otevřených ekonomikách ve fázi ekonomického přechodu je výraznou překážkou sestavení takovéto matice, jelikož vstupní data je možné zadat pouze vágně. Jednou možnosti jak tento problém vyřešit je aplikace fuzzy-stochastického přístupu. Tento přístup je v článku popsán, vysvětlen a aplikován na zjednodušujícím příkladu. (cs)
- Credit risk measurement, calculation and analysis are a crucial problem in financial decision-making. These models are solved under risk (stochastic) assumptions. Several methodologies were developed, eg. CreditMetrics (J.P. Morgan), CreditRisk+ (Credit Suisse), KMV (KMV), CreditPortfdolio View (McKinsey). CreditMetrics methodology is based on transition probability matrix. There are mainly in small open and transition economies problem to compute the matrix. Input data is possible to introduce only vaguely because short-term data are in to disposal. One of an approach is to apply a fuzzy-stochastic methodology. Thus, a combination of risk (stochastic) and uncertainty (fuzzy instruments) might be used. Fuzzy-stochastic model is presented, fuzzy Monte-Carlo procedure is applied and results are presented as fuzzy probability distribution function vaguely as a fuzzy set. In the paper methodology of managing credit risk by CreditMetrics methodology is discussed. Crisp-stochastic analytical and simulation
- Credit risk measurement, calculation and analysis are a crucial problem in financial decision-making. These models are solved under risk (stochastic) assumptions. Several methodologies were developed, eg. CreditMetrics (J.P. Morgan), CreditRisk+ (Credit Suisse), KMV (KMV), CreditPortfdolio View (McKinsey). CreditMetrics methodology is based on transition probability matrix. There are mainly in small open and transition economies problem to compute the matrix. Input data is possible to introduce only vaguely because short-term data are in to disposal. One of an approach is to apply a fuzzy-stochastic methodology. Thus, a combination of risk (stochastic) and uncertainty (fuzzy instruments) might be used. Fuzzy-stochastic model is presented, fuzzy Monte-Carlo procedure is applied and results are presented as fuzzy probability distribution function vaguely as a fuzzy set. In the paper methodology of managing credit risk by CreditMetrics methodology is discussed. Crisp-stochastic analytical and simulation (en)
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| Title
| - Credit Risk under soft condition
- Credit Risk under soft condition (en)
- Kreditní riziko za měkkých podmínek (cs)
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| skos:prefLabel
| - Credit Risk under soft condition
- Credit Risk under soft condition (en)
- Kreditní riziko za měkkých podmínek (cs)
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| skos:notation
| - RIV/61989100:27510/04:00009836!RIV/2005/GA0/275105/N
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| http://linked.open.../vavai/riv/strany
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
| - P(GA402/02/1046), Z(MSM 275100015)
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/04:00009836
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - Decision support system;Finance;Fuzzy sets;Pricing;Stochastic processes;fuzzy Monte-Carlo procedure, Credit risk, CreditMetrics, Monte-Carlo simulation, Transformation probability matrices, fuzzy-random variable (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
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| http://linked.open...in/vavai/riv/obor
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| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
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| http://linked.open...vavai/riv/projekt
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open.../riv/zahajeniAkce
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| http://linked.open...n/vavai/riv/zamer
| |
| number of pages
| |
| http://purl.org/ne...btex#hasPublisher
| - ESCP-EAP University Paris, Paris
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| http://localhost/t...ganizacniJednotka
| |
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