Kreditní riziko za měkkých podmínek

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F04%3A00009836" target="_blank" >RIV/61989100:27510/04:00009836 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Credit Risk under soft condition

Popis výsledku v původním jazyce

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+ (CreditSuisse), 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

Název v anglickém jazyce

Credit Risk under soft condition

Popis výsledku anglicky

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+ (CreditSuisse), 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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F02%2F1046" target="_blank" >GA402/02/1046: Aplikace fuzzy-stochastických přístupů ve finančním rozhodování</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2004

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

EWGFM 04 spring

ISBN

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ISSN

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e-ISSN

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Počet stran výsledku

12

Strana od-do

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Název nakladatele

ESCP-EAP University Paris, Paris

Místo vydání

Paris

Místo konání akce

Paris

Datum konání akce

12. 5. 2004

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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