[PDF][PDF] Applied comparison of selected credit risk models
P Adamko, T Kliestik, M Misankova - Advances in social and …, 2014 - researchgate.net
This paper describes CreditMetrics model and KMV model. A comparison of these models
particularly with respect to their applicability on portfolio composed of conventional bank …
particularly with respect to their applicability on portfolio composed of conventional bank …
[PDF][PDF] Is it Possible to Measure Credit Risk in Intelligent Transport Systems
T Kliestik, M Misankova, K Zvarikova - … on Management Innovation …, 2014 - researchgate.net
Credit risk is the probability of loss that the company incurs as a result of failure of a
business partner (counterparty) or due to the payment unwillingness. This failure is …
business partner (counterparty) or due to the payment unwillingness. This failure is …
[PDF][PDF] Sensitivity Analysis of Credit Risk Models based on Greeks
T Klieštik, M Mišanková, P Adamko - researchgate.net
Credit risk models was established by Merton in 1974 who based his modeling of the
probability of default event on the option pricing model of Black and Scholes (1973) …
probability of default event on the option pricing model of Black and Scholes (1973) …
[PDF][PDF] Several Remarks on the Quantification of Value at Risk
T Kliestik, M Misankova, P Adamko - researchgate.net
VaR was without doubt some kind of revolution in the field of risk management. Since the
first use of this risk rate, results showed that a number of useful features are included, which …
first use of this risk rate, results showed that a number of useful features are included, which …