PhDr. Ing. Petr Jakubík Ph.D.
Field of interest: financial stability, credit risk, banking
Membership: Internal
Contact
Office: ČNB
Email: petr.jakubik@cnb.cz
Phone: +420 22441 2037
Available: individual arrangement
More information
Syllabi
Course supervisor
JEM128 - Financial Modeling Using MS Excel, VBA
Teacher
JEM034 - Corporate Finance
JEM128 - Financial Modeling Using MS Excel, VBA
JEM092 Tutorial - Portfolio Analysis and Risk Management - Tutorial
PhD study
Tutor: doc. Ing. Oldřich Dědek CSc., Česká spořitelna Corporate Chair
Studying from: 2008
PhDr examination: 03/2007
Final exam:
Dissertation Proposal defence:
Dissertation defence:
Current work:
Dissertation topic:
Credit Risk and Stress Testing within the Financial Stability Framework
Disertation abstract:
Macroeconomic credit risk analysis can be perceived as a crucial means to prevent the occurrence of financial crises. This can be realized by means of a regular robustness test on a country’s banking sector against credit risk, for example by means of stress tests being carried out by supervisory bodies and central banks providing hints to detect financial system fragility e.g. Čihák, M., Heřmánek, J., Hlaváček, M. (2007) or Sorge, M., Virolainen, K. (2006). Although macro stress tests are broadly employed, microeconomic stress testing remains relatively limited to date, particularly also due to the limitation of publicly available data. Among recent contributions were Peura and Jokivuolle (2004) and Rösch and Scheule (2007).
The thesis will be focused on the credit risk modeling within the stress testing of the banking sector and implications on financial stability. Further, the outcome of the macro stress test will be translated into a Basel II type micro stress test of a hypothetical, but realistic credit portfolio. Moreover, the impact of the adverse macroeconomic shocks on the real economy will be analyzed and financial stability framework will be built. In addition, the transmission channels between financial sector and the real economy will be explored and mutual interaction using the financial stability framework will be evaluated.
Optional courses:
Economics and Law in Banking and Finance
Economic Theory of Political Market
CV
Organisation Memberships
Czech Economic Society
Education
10/2007 Course on Bank Supervision, Federal Reserve Bank of New York, NY, USA
2007 PhDr. examination, economics, Charles University in Prague
9-11/2006 Course on Financial Programming and Policies, IMF Institute, Washington, D.C., USA
2004-06 Master in economics, Charles University in Prague
2005 economics, finance - Hanken Svenska Handelshögskolan, Helsinki, Finland (Socrates)
2001-04 PhD in finance, University of Economics in Prague
1999-02 Master in statistics and insurance, University of Economics in Prague
1994-99 Master in computer science, mathematics, Czech Technical University in Prague
Job history
2007+ Chief Economist, Economic Research and Financial Stability Department, Czech National Bank, Prague
9/2009-12/2009 Technical Adviser, Financial Stability Institute, Bank for International Settlements, Basel, Switzerland
2005-07 Chief Financial Stability Analyst, Economic Research Department, Czech National Bank, Prague
7-9/2005 Project Researcher, Monetary Policy and Research Department, Bank of Finland, Helsinki, Finland
2001-04 Scoring Analyst, Credit Risk Management Department, Komercni banka a.s., Prague
1999-2000 Programmer-Analyst, Terminus s.r.o., Beroun
1999 Programmer-Analyst, Ceska narodni zdravotni pojistovna, Prague
Extra activities
2007+ Czech Economic Society – member of the Board and the Executive Committee
2006+ Basic Research Centre of Dynamic Economy and Econometrics – member of the Centre Council
Awards and prizes
■ 2009 SAS Student Ambassador Award, international annual prize for students and researchers who use SAS technologies in innovative ways that benefit their respective industries and fields of study, SAS Global Forum, Washington D.C., US
■ 2008 Financial Stability Institute Award for the best paper on a topic related to a financial regulatory or supervisory issue for the work "Macroeconomic credit risk modelling and stress testing – Comparison of the Czech Republic and Germany", International uniannual prize for the employees of a financial sector supervisory agency, Bank for International Settlement, Basel, Switzerland
■ 2007 profesor Vencovsky Award of the Institute of Finance and Administration in Prague for the five best papers in economics for the work Credit risk and stress testing of the Czech Banking Sector, Czech Republic
■ 2006 Bolzano Award in Economics for the work Credit Risk Models and the Economic Cycle, Prize of the Charles University in Prague, Czech Republic
■ 2006 Young Economist Award of the Czech Economic Society, annual prize for the three best papers in economics for the work Macroeconomic Environment and Credit Risk, Czech Republic
■ 2006 McKinsey and RWE-Transgas Prize in Economics, Prize for the Best Thesis submitted at the Institute for Economics Studies, Czech Republic
■ 2006 Dean of the Faculty distinction for an extraordinarily good masters thesis, Faculty of Social Sciences, Charles University in Prague, Czech Republic
Topics for supervision
Master theses
New challenges to financial regulation and supervision
Stress testing of the banking sector
Credit risk modelling and macroprudential regulation
Household response to economic crisis
Optimal investment strategy
Supervised Master Theses
all/awarded: 7/2
Awarded:
Mgr. Jakub Seidler, Mgr. Zuzana Iršová
Downloadable
ISP
LGD and Financial Stability
Real Sector and Financial Stability