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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

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

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

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 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

Modelling Bank Loan LGD of Corporate and SME Segments: A Case Study

Chalupka, Radovan; Kopecsni, Juraj - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs in the pricing of credit risk and the measurement of...

Persistent link: https://www.econbiz.de/10005698657

Loss, Default, and Loss Given Default Modeling

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

The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...

Persistent link: https://www.econbiz.de/10005698703