GACR 18-05244S - Innovative Approaches to Credit Risk Management
| Principal investigator: | prof. PhDr. Petr Teplý Ph.D. |
|---|---|
| Collaborators: |
doc. PhDr. Adam Geršl Ph.D. PhDr. Hana Hejlová Ph.D. Martina Jašová Mgr. Matěj Kuc Ing. Mgr. Barbora Štěpánková M.A., Ph.D. prof. PhDr. Petr Teplý Ph.D. PhDr. Karolína Vozková |
| Description: | The overall aim of this project is to contribute to both theoretical and empirical research on credit risk management. A new era of digitalization and globalization of the world financial industry has highlighted the importance of credit risk management. The value added of this project is therefore original research in credit risk management that needs to be revised in the recent dynamic environment (product pricing, macroprudential regulation and micro credit risk assessment of borrowers). Moreover, we will propose innovative credit risk management models and methods based on the most recent advances in quantitative modelling and artificial intelligence research. For better transparency, the project is divided into two overlapping parts, which more closely specify their aims: i) credit derivatives and credit valuation adjustment and ii) credit risk models. The results of this research will contribute to establishment of a consistent set of economic methods that can be used for evaluation of existing risk management practices. |
| Participation: | Prof. Jiří Witzany, Faculty of Finance and Accounting, University of Economics (project principal), University of Economics in Prague; Doc. Liběna Černohorská, Doc. Jan Černohorský (University of Pardubice) |
| Work in grant: | |
| Web link: | http://ies.fsv.cuni.cz/sci/grant/show/id/462/lang/en |
| Finance: | The Czech Science Foundation |
| End date: | 30.6.2021 |
| Publications: |
Bank-sourced credit transition matrices: Estimation and characteristics Bank-Sourced Transition Matrices: Are Banks’ InternalCredit Risk Estimates Markovian? Best Classification Algorithms in Peer-to-Peer Lending Net Interest Margin of Cooperative Banks in Low Interest Rate Environment The impact of low interest rates on banks' non-performing loans |
| Conferences: | 10th CES Biennial Conference of the Czech Economic Society, Czech Republic ICMSFE 2018 : International Conference on Mathematics, Statistics and Financial Economics |
