Modelování očekávané ztráty
In this work we describe common credit risk models including all necessary mathematical theory. We extensively study Markov chains, especially homogeneous continuous-time Markov chains. The main contribution of the thesis is an extension of Markov chain modeling into stochastic time - so called time...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-282613 |