Detail práce

The impact of the COVID-19 crisis on bank credit risk management

Autor: Mgr. Karolína Lukášková
Rok: 2021 - letní
Vedoucí: prof. PhDr. Petr Teplý Ph.D.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 84
Ocenění:
Odkaz:
Abstrakt: This diploma thesis examines the impact of the COVID-19 crisis on the bank credit
risk in the European Union. The analysis is performed using two sets of panel data.
The first set contains data at the bank-level between 2012 and 2018 and is obtained
from BankFocus batabase and the second set of data is obtained from the EBA Risk
dashboard and contains data at the country-level between 2014 and 2020. Both
datasets contain bank-specific variables and macroeconomic variables. We use the
variables Cost of risk, Total capital ratio, Tier 1 ratio and NPE ratio as dependent
variables. As representatives of the COVID-19 shock, we use the number of people
infected with this disease, the number of deaths from this disease and the Stringency
Index. We employ the GMM system for our analysis and test 5 hypotheses. We did
not reject 3 hypotheses, namely that Cost of risk is a key determinant of credit risk
and that the crisis caused by COVID-19 affects the variables Capitalo ratio and NPE
ratio. We further concluded that the variables representing COVID-19 do not have a
negative effect on credit risk, mainly due to the interventions of the ECB and the
IASB.

01

Prosinec

Prosinec 2021
poútstčtsone
  12345
6789101112
13141516171819
20212223242526
2728293031  

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance