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Has the Relationship Between Market and Model CDS Price Changed during the EMU Debt Crisis?

Buzková, Petra - Institut ekonomických studií, Univerzita Karlova v Praze - 2014

Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During … European public authorities gave rise to speculations that Greece could effectively default without CDS protection payment … being triggered. In this article we examine whether this development in Greek case influenced CDS price of EMU member states …

Persistent link: https://www.econbiz.de/10011078536

Household Balance Sheets and Economic Crisis

Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2011

This paper studies the economic impact of the current global economic downturn on the household sector. Household budgets can be negatively affected by declines in nominal wages and increases in unemployment. We empirically test this effect for the small open emerging economy. As a result of a...

Persistent link: https://www.econbiz.de/10009150068

Implied Market Loss Given Default: structural-model approach

Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

This paper focuses on the key credit risk parameter–Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market...

Persistent link: https://www.econbiz.de/10005537000

Credit risk assessment is a crucial part of macroprudential analysis, with the aggregate nonperforming loan (NPL) ratio serving as a proxy for the economy-wide probability of default of the banking sector’s overall loan exposure. Therefore, the factors driving the NPL ratio deserve a lot of interest. This study provides a macroeconomic model for nonperforming loans (NPLs) for the Central, Eastern ...

Jakubík, Petr; Reininger, Thomas - Institut ekonomických studií, Univerzita Karlova v Praze - 2014

Persistent link: https://www.econbiz.de/10011078528

Estimating Default and Recovery Rate Correlations

Witzany, Jiri - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically...

Persistent link: https://www.econbiz.de/10010827794

Estimating LGD Correlation

Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 2009

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...

Persistent link: https://www.econbiz.de/10005103162

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

Survival Analysis in LGD Modeling

Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - Institut ekonomických studií, Univerzita Karlova v Praze - 2010

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...

Persistent link: https://www.econbiz.de/10008522366

Conservative Stress Testing: The Role of Regular Verification

Gersl, Adam; Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2010

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...

Persistent link: https://www.econbiz.de/10008526418

Credit Risk in the Czech Economy

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

This paper deals with credit risk in the Czech aggregate economy. It follows structural Merton's approach. A latent factor model is employed within this framework. Estimation of this model can help to understand relation between credit risk and macroeconomic indicators. The credit risk model of...

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