| Summary: | In the present work we study the process of determination of capital requirement for credit risk that is recommended by the Basel Commitee for Banking Supervision to implement into national legislation and that is also obligatory for all European banks since it is a part of the Capital Requirement Directive. At the beginning of this thesis, basic principles and three pillars of The New Basel Capital Accord (2004), better known as Basel II, are described. After focusing on the part of the rst pillar dealing with credit risk, di erent approaches to credit risk measurement are introduced. The most important formula for the advanced internal-ratings based approach is then analyzed under the settings of mathematical models it is based on. In the last chapter, the output of the formula for capital requirement calculated for a given hypothetic portfolio is compared to the estimate of unexpected loss, that the requirement should correspond to.
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