| Abstract [eng] |
The purpose of this master’s thesis is to find formulas of default probabilities for low default portfolios in three cases: a) when default events are independent, b) where the events of default are independent of each other but are affected by systemic and individual factors that are independent of each other, c) when the events of default are independent of each other but are affected by systemic and individual factors that are interdependent. Cases where there are no or are several defaults have been checked. According to the formulas found, samples were modeled by selecting certain levels of significance. Samples were reviewed and compared. Conclusions were presented at the end of the work. This topic is relevant for modeling portfolios made up of individuals with monetary obligations and for credit risk management purpose in general. |
