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Cross-border Risk Transmission by a Multinational Bank

Derviz, Alexis - Institut ekonomických studií, Univerzita Karlova v Praze - 2005

on credit creation in the other. I show that the presence of the two named categories of non-transferable skills in the … the bank shareholder and manager incentives. It can even happen that the exogenous shock impact on credit has a different …

Persistent link: https://www.econbiz.de/10005698738

Credit Valuation Adjustment Modelling During a Global Low Interest Rate Environment

Teply, Petr; Macek, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2015

the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … measure of the market value of counterparty credit risk. We use simulated data to develop a stress test model to determine the …

Persistent link: https://www.econbiz.de/10011147548

Bank Efficiency during the Current Economic Crisis: An International Comparison

Babin, Adrian - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

This paper uses a Latent Class Stochastic Frontier Approach to factor out the heterogeneity in the data and to provide evidence on the existence of different bank technologies in international banking with different response schedules to external shocks and diverse constraints. We use an...

Persistent link: https://www.econbiz.de/10010686529

Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia

Fungáèová, Zuzana; Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2012

, as credit growth in emerging economies tends to be rather volatile, we rely on dynamic approach projecting key balance … public debt-to-GDP ratio and plays decisive role in the banking sector. These factors allow sufficient fiscal space for …

Persistent link: https://www.econbiz.de/10010541188

Family matters: Concurrent capital buffers in a banking group

Skořepa, Michal - Institut ekonomických studií, Univerzita Karlova v Praze - 2014

We simulate how the probability of failure of a subsidiary and the group changes after a capital buffer is imposed on the group as a whole and/or the subsidiary. The simulation takes into account the relative sizes of the parent and the subsidiary, the parent’s share in the subsidiary, the...

Persistent link: https://www.econbiz.de/10011078525

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

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

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 the Czech aggregate economy was estimated in this manner for …

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

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

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

The Prediction of Corporate Bankruptcy and Czech Economy’s Financial Stability through Logit Analysis

Teply, Petr; Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

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...

Persistent link: https://www.econbiz.de/10005698670