Publication detail

Credit Risk in the Czech Economy

Author(s): doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.,
Type: IES Working Papers
Year: 2007
Number: 11
Published in: IES Working Papers
Publishing place: Prague
Keywords: banking, credit risk, latent factor model, default rate, stress test
JEL codes: G21, G28, G33
Suggested Citation:
Grants: 402/05/2123 (2005-2007) Efficiency of Financial Markets and New Basel Capital Accord (NBCA)
Abstract: 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.
Downloadable: WP 2007_11Jakubik




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