credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we … will focus on the credit risk quantification methodology. We will demonstrate that the current regulatory standards for … credit risk management are at least not perfect, despite the fact that the regulatory framework for credit risk measurement …

) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

Benachteiligung des Mittelstands und auch nicht zu dem vielfach befürchteten Credit Crunch führen (muss)«. Für Gerhard Hofmann …

especially driven by the large number of credit cooperatives and savings banks. However, some banks (especially regional banks …

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

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from … lender. Small and young firms in technology- and knowledge-intensive industries tend to concentrate their credit needs in a … shows that the level of credit risk at bank level decreases in line with the extent to which firms applying single …

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and …

natural hedge is now being transformed into credit risk for the banking sector. This is creating a serious problem in … household FX borrowing depends on the interest rate differential, the institutional features of mortgage financing and the … rate mortgage financing is available and the monetary authority's 'fear of floating' is low. …