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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

recapitalisation of problematic banks under both of our proposed baseline and adverse scenarios. …

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

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...

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

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

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

Cross-border Risk Transmission by a Multinational Bank

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

A model of international banking, with the stress on the specific management human capital (borrower monitoring) and the majority shareholder human capital (manager auditing) is used to study the effects of exogenous shocks in one country on credit creation in the other. I show that the presence...

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

Does Credit Risk Vary with Economic Cycles? The Case of Finland

Jakubík, Petr - Institut ekonomických studií, Univerzita Karlova v Praze - 2006

The significance of credit risk models has increased with the introduction of new Basel accord known as Basel II. The aim of this study is default rate modeling. This paper follows the two possible approaches of a macro credit risk modeling. First, empirical models are investigated. Second, a...

Persistent link: https://www.econbiz.de/10005698740

Bank Efficiency during the Current Economic Crisis: An International Comparison

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

shocks and diverse constraints. We use an unbalanced panel of 756 banks from 77 countries during 2005-2010 for this purpose … banks to the crisis. Interestingly, we find that banks from the same class but from different regions had a different … efficiency evolution over the period. Moreover, we document the existence of banks that are more predisposed to be efficient in …

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