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Stress Testing of Probability of Default of Individuals

Kadeřábek, Petr; Slabý, Aleš; Vodička, Josef - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators such as wages,...

Persistent link: https://www.econbiz.de/10005808661

A Model of Human Capital, Time Discounting and Economic Growth

Bauer, Michal; Chytilová, Julie - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

Endogenous time discounting is introduced in a two-period human-capital-driven growth model: subjective discount rate depends upon the level of human capital. This assumption accords strongly with the micro-level evidence. In the model an individual optimizes consumption over two periods. Low...

Persistent link: https://www.econbiz.de/10005808662

How Resilient is the German Banking System to Macroeconomic Shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …

Persistent link: https://www.econbiz.de/10005818895

Do mergers improve information? Evidence from the loan market

Panetta, Fabio; Schivardi, Fabiano; Shum, Matthew - Banca d'Italia - 2004

We examine the informational effects of M&As by investigating whether bank mergers improve banksï¿½ ability to screen borrowers. By exploiting a dataset in which we observe a measure of a borrowerï¿½s default risk that the lenders observe only imperfectly, we find evidence of these...

Persistent link: https://www.econbiz.de/10005770757

Efficiency vs. agency motivations for bank takeovers: some empirical evidence

Vincenzo, Alessio De; Doria, Claudio; Salleo, Carmelo - Banca d'Italia - 2006

Bank takeovers result on average in little improvements in performance. This may be due to conflicting driving forces behind them; however these have seldom been studied. We study directly the motivations for bank acquisitions by analyzing the prices paid for them, under the assumption that...

Persistent link: https://www.econbiz.de/10005113643

An unexpected crisis? Looking at pricing effectiveness of different banks

Vacca, Valerio - Banca d'Italia - 2011

, thus lowering pricing effectiveness. The main finding is that larger banking groups were more affected by the sudden …

Persistent link: https://www.econbiz.de/10009193014

International banking standards in emerging markets: testing the adaptation thesis in the European Union

Kudrna, Zdenìk; Medzihorsky, Juraj - Institut ekonomických studií, Univerzita Karlova v Praze - 2012

that international banking standards need to be adapted to emerging market circumstances. On the basis of World Bank … political and economic volatility. Hence, the new generation of international banking standards should recognize these …

Persistent link: https://www.econbiz.de/10010541190

Financial subsidies and bank lending: substitutes or complements? Micro level evidence from Italy

Carmignani, Amanda; D'Ignazio, Alessio - Banca d'Italia - 2011

public financing to firms via the banking system. The effect of public incentives depends on the availability of financial …

Persistent link: https://www.econbiz.de/10009020148

Credit Risk in the Czech Economy

Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2007

purpose of stress testing. The results of this study can be used for stress testing of banking sector. …

Persistent link: https://www.econbiz.de/10005698656

Behavioral Foundations of Microcredit: Experimental and Survey Evidence From Rural India

Bauer, Michal; Chytilová, Julie; Morduch, Jonathan - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper draws a link between self-control problems and the contractual mechanisms of microcredit. We use a series of “lab experiments in the field” which were designed to elicit measures of time discounting on a sample of 573 individuals in rural Karnataka, India. Evidence from the...

Persistent link: https://www.econbiz.de/10005698684