Detail publikace

Credit Risk in the Czech Economy

Autor: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.,
Typ: IES Working Papers
Rok: 2007
Číslo: 11
ISSN / ISBN:
Publikováno v: IES Working Papers
Místo vydání: Prague
Klíčová slova: banking, credit risk, latent factor model, default rate, stress test
JEL kódy: G21, G28, G33
Citace:
Granty: 402/05/2123 (2005-2007) Efektivnost na finančních trzích a nová basilejská dohoda (NBCA)
Abstrakt: 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 the Czech aggregate economy was estimated in this manner for purpose of stress testing. The results of this study can be used for stress testing of banking sector.
Ke stažení: WP 2007_11Jakubik
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