We examine the determinants of interest rate margins of Czech banks employing bank-level dataset at the quarterly frequency in 2000-2006. Our main results are as follows. We find that more efficient banks exhibit lower margins and there is no evidence that the banks with lower margins would...

This paper investigates investment performance of microfinance investment funds. The examined funds have recorded lower total risk than global stocks and bonds (measured by four benchmark indices) with moderate but stable returns. The analysis revealed that investment in microfinance investment...

The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...

This paper 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 paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly...

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD...

Práce se zabývá popisem českých institucí podporujících úvěry poskytované malým a středním podnikatelům, zemědělcům a vývozcům. Analyzovanými institucemi jsou Exportní garanční a pojišťovací společnost, Česká exportní banka, Českomoravská záruční a rozvojová...

The article discusses the role of foreign banks and foreign lending in the CEE countries from the financial stability perspective using the data on international banking business. The pattern of foreign banks’ involvement is analyzed and the risk of cross-border contagion explored, focusing on...