Home > Search Results: Zsigraiová, Monika
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Probability of default modelling using macroeconomic factors
 Zsigraiová, Monika ; Seidler, Jakub (advisor) ; Rippel, Milan (referee)
The thesis evaluates relationship between probability of default of non-financial corporations and households and evolution of macroeconomic environment. This work contributes to the literature of credit risk proving importance of macroeconomic variables in determining the PDs both on aggregate level and for sector of non-financial corporations and sector of households in the Czech Republic. Evaluation of an impact of the recent financial crisis on the PDs are done by employing latent factor model and FAVAR model on monthly data of non-performing loans and other macroeconomic variables covering the period 01/2002-06/2013. Finally, an ability to forecast and fit the data of FAVAR model and one factor latent model are compared. The comparison indicates that latent factor model should be more appropriate than FAVAR model.
Detailed record
Impact of the Global Crisis on Banking Sector Soundness: Czech Republic, Hungary and Poland
 Zsigraiová, Monika ; Geršl, Adam (advisor) ; Kudrna, Zdeněk (referee)
The theses assesses the influence of the Crisis on the soundness of banking sector in the Czech Republic, Hungary and Poland. The analysis using bank-specific and country-specific data employs the descriptive and econometric tools. Especially, the fixed-effects method helps to reveal an impact of the Crisis on gross loans, liquid assets, non-performing loans, return on average asset and capital adequacy ratio. The results suggest that the crisis affected negatively the bank soundness of each discussed country, specifically the macroeconomic transmission channel was proven to be significant in all studied countries. The funding transmission channel was significant only in case of Poland.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English