Modelování pravděpodobnosti defaultu klienta a individuální stanovení ceny úvěru pro malé a střední společnosti
This thesis is focused on modelling credit risk linked with granting smáli business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicaly available data. Main topič of this study is individual loan pricing related to the risk prof...
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| Format: | Dissertation |
| Language: | Czech |
| Published: |
2008
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| Online Access: | http://www.nusl.cz/ntk/nusl-454779 |
| Summary: | This thesis is focused on modelling credit risk linked with granting smáli business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicaly available data. Main topič of this study is individual loan pricing related to the risk profile of those subjects. First part is concentrated on theoretical background of individual rate construction. This rate is based on risk prémium and a Capital requirement related with clienťs individual risk profile and námely with his probability of default. The remainder is devoted to the extensive empirical study supported with representative dataset of US smáli business companies. Middle part introduce several alternativě PD scoring methodologies. Finál partition is dedicated to individual interest rate construction and simulation of interest income. The main objective is to demonstrate doubtless advantages of individual rate construction against charging regular rates. |
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