Grant detail

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
Martina Jašová
Mgr. Matěj Kuc
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: 31.12.2020
Publications:

An analysis of bank fee and commission income in the EU and in the Czech Republic in a low interest rate environment

Bank-sourced credit transition matrices: Estimation and characteristics

Best Classification Algorithms in Peer-to-Peer Lending

Net Interest Margin of Cooperative Banks in Low Interest Rate Environment

The impact of fee income share on EU banks´ performance and its implication on drivers of banks´ business model changes

The impact of low interest rates on banks' non-performing loans

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

International Workshop at University of Siena

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance