This article examines procyclicality of the financial system. The introduction describes the natural and regulatory sources of procyclicality, focusing on the potential procyclical effect of the current Basel II regulatory framework for banks. It also mentions the regulatory tools for mitigating...

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...

This article discusses the estimation of a key credit risk parameter – loss given default (LGD) – and calculates it for selected companies traded on the Prague Stock Exchange. The importance of estimating LGD stems from the fact that a lender’s expected loss is the product...

This article focuses on the macroeconomic default rate model in the Czech economy. The aim is to produce a model allowing us to estimate the expected proportion of bad loans in the total loan portfolio of banks in response to the evolution of key macroeconomic indicators. The proportion of bad...

This article presents a financial scoring model estimated on Czech corporate accounting data. Seven financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of...

This article presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB’s Central Register of Credits. It focuses on the question of how firms obtain financing from domestic banks. The results show that the...

This paper presents the results of an analysis of data on individual bank loans of nonfinancial corporations in the Czech Republic taken from the CNB’s Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast...