Grant detail

GACR 402/08/0004 (2008-2010) Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector

Principal investigator: Mgr. Magda Pečená Ph.D.
Collaborators: † Dr. Zdenek Sid Blaha M.A., D.B.A.
doc. PhDr. Petr Teplý Ph.D.
Description: In our research project we continue, inter alia, to analyse several methods of measurement of default probability starting with the traditional accounting-based models. We shall then focus on a credit risk model, which derives the probabilities of default from the prices and volatility of companies’ publicly traded common shares. We shall discuss and justify the model’s assumptions, derive the key formulae, give step-by-step directions for its actual implementation in the Czech Republic and in the EU-wide banking sector and financial markets. In our work we shall highlight the advantages and limitations of this methodology. Furthermore we compute the model-implied probabilities of default for major companies - both domestic and foreign - operating in the Czech Republic and compare the results with traditional indicators of credit risk.
Preliminary conclusions suggest that the first version of the model already applied on the Czech data can be used as an efficient source of information about the underlying credit risk (and default probabilities). Our aim is to introduce and apply - under the conditions of fast developing and more liquid Czech capital market in the near future - an enhanced model which can serve as a quantitative and highly efficient gauge of credit risk both in the Czech banking sector and in the European Union financial markets as well.
Participation:
Work in grant:
Web link:
Finance: Grantová agentura ČR (GA ČR)
End date: 31.12.2010
Publications:

Alternative Approaches of Evaluation of Economy´s Financial Stability

Black swans and operational risk management

Credit default swaps as credit risk mitigant?

Credit derivatives - threat or opportunity?

Credit losses during the crisis 2007 – 2009: from contagion to recovery

Credit risk and financial crises

Credit risk in European banks mergers and acquisitions

Credit risk management during the 2007 – 2009 global crisis

Credit risk management lessons from Czech banks for the Chinese banking sector

Efficiency of EU Merger Control in the 1990-2008 Period

Implications of The 2008 Financial Crisis for World Financial Markets

Main Flaws of the Collateralized Debt Obligation Valuation before and During the 2008/2009 Global Turmoil

Modeling Capital Requirements for Operational Risk in Emerging Markets’ Banks

Negative and Positive Lessons from The 2007-2008 Financial Crisis

Strategic Implications of The 2008 Financial Crisis

The Dark Side of Collateralized Debt Obligation´s Valuation during The 2008/2009 Financial Crisis

The European Banking Industry Before And During the 2008/2009 Global Turmoil

The Impact of Regulation of Banks in the US and the EU-15 Countries

The Importance of Emergency Liquidity Risk Management during The 2007-2009 Global Financial Turmoil

The Importance of Operational Risk Modeling For Economic Capital Management In Banking

The JT index as An Indicator of Financial Stability of Emerging Markets

The role of credit rating agencies in the 2008/2009 global financial crisis

Conferences:

12TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING STRUCTURAL AND REGIONAL IMPACTS OF FINANCIAL CRISES (CDO valuation), Czech Republic

12TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING STRUCTURAL AND REGIONAL IMPACTS OF FINANCIAL CRISES (Operational risk), Czech Republic

Costa Rica Global Conference on Business and Finance (Global crisis), Costa Rica

Costa Rica Global Conference on Business and Finance (JT index), Costa Rica

Exit strategies from the current crisis, Czech Republic

Global Crisis and its Implications on Companies, Czech Republic

International Finance Symposium: The Search for New Financial Architecture after the Global Crisis, Marmara University

Joint Conference of EMTAP (International Conference on Emergency Technology, Application and Practice) and ICCEM (International Conference on Crisis and Emergency Management), China

The World Summit on Global Economic Crisis, United Kingdom

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB