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Stress Testing of the Banking Sector in Emerging Markets A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
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Rating Model for the Internal Assessment of the Creditworthiness of Customers
Vaňková, Leona ; Kotěrová, Monika (referee) ; Kocmanová, Alena (advisor)
The object of the following Diploma thesis was to design and test a simple and well-arranged credit tool – a Rating Model (further Model) which could be used as a preventative measure in credit policy. This rating model was designed in order to make the work of the Credit Risk Management sub-department and Rating Committee of KORADO more effective and at the same time to make more effective use of currently available internal and external data. Should the Company decide to use this Rating Model, a minimum of additional expenses would be incurred. The reader of this work will gain theoretical knowledge regarding financial analysis, credit management and fuzzy logic which is used in the calculation of a Total Rating. He/she will become acquainted with the major external agencies providing rating evaluations. As well, the reader may apprise the theoretical Rating model, including its practical use on four domestic and four overseas customers of KORADO. In conclusion there is an implementation of the Model, including a time schedule, an implementation team proposal as well as a budget of implementation and utilization costs.
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Pricing and modeling credit risk
Kolman, Marek ; Witzany, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from various fields of credit risk modeling. In particular, it is shown (i) that the stock option market is a good source of credit information, (ii) how the reduced-form modeling framework can be extended to capture more complicated problems, (iii) that the double t copula together with a self-developed portfolio modeling framework outperforms the classical Gaussian copula approaches. Many other, partial findings are presented in the relevant chapters and some other results are also discussed in the Appendix.
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An Analysis of the Factors Affecting Credit Risk in Personal Lending
Kissík, Tomáš ; Dvořák, Petr (advisor) ; Fleischmann, Luboš (referee)
This thesis takes up the issue of consumer loans credit risk. It aims to identify factors that influence the likelihood of default during the repayment of bank retail products. Theoretical part is focused on the theory of bank loans, credit risk together with its regulation within the Basel guidelines and a description of the most commonly used statistical methods for the creation of scoring models. In the practical part, logistic regression parameter estimates are used on real set, the main features linking loans in default are examined and their impact on the proportion of bad loans in the portfolio is measured.
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Influence of BASEL III regulation on risk management in banking
Havlíček, Radek ; Blahová, Naďa (advisor) ; Pour, Jiří (referee)
The diploma thesis focuses on the regulatory framework of the BASEL III in coherence with risk management and measurement of market and credit risks. The accent is focused upon methodology of calculation and determination of the capital requirements of above mentioned risks. In the introductory part of the thesis are mentioned basic procedures regarding risk management as well as theoretical methodology and development of calculation of the capital requirements in coherence with current standard BASEL III. In the practical part of the thesis are presented capital management policies with regards to BASEL III in Deutsche Bank AG, globally presented institution and Komerční banka, a.s., operating on the Czech market. Accented are mainly the expositions of the institutions and the size of the capital required by the regulatory framework.
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Credit risk management in banks
Pětníková, Tereza ; Blahová, Naděžda (advisor) ; Šedivý, Jan (referee)
The subject of this diploma thesis is managing credit risk in banks, as the most significant risk faced by banks. The aim of this work is to define the basic techniques, tools and methods that are used by banks to manage credit risk. The first part of this work focuses on defining these procedures and describes the entire process of credit risk management, from the definition of credit risk, describing credit strategy and policy, organizational structure, defining the most used credit risk mitigation tools to the regulatory requirements for credit risk management. The second part gives a more detailed view to credit risk measurement and evaluation and possibilities of credit risk hedging. Last part presents credit risk management in practise illustrated by the example of chosen bank.
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Factoring in Accounting and Practical View
Marková, Kristýna ; Roubíčková, Jaroslava (advisor) ; Müllerová, Libuše (referee)
This diploma thesis is concerned with a financial tool called factoring. It involves an assignment of account receivables before their maturity date onto the factoring company and thus taking over their administration while providing immediate cash to the original creditor in order to sustain liquidity. Legislation of this method of financing is not yet fully resolved therefore it is crucial to focus primarily on the ecnomic substance of individual contracts. Basically, there are two major types of factoring: recourse and non-recourse depending on the level of assumed risk, together with transfer of ownerwhip of the account receivable. This fundamental distinction is inevitable for correct financial reporting which should reflect not only the accounting principles but also it should respect other implications, such as taxation.
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Development of credit derivatives trading
Kunovjánek, Robert ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
The bachelor thesis is focused on the structure and development of credit derivatives market. The thesis provides a basic summary for insight into credit derivatives market. The first part deals with general specifications of derivatives, their structure, functions and relevant categorization. The main chapter is dedicated to the most frequently used variants of credit derivatives, namely, credit default swap, total return swap and credit-linked note. Predominantly traded credit default swap indices and basic valuation of a credit risk are described in the second and third parts. The last part analyses the trend of clearing and standardization of contracts through a centralized counterparty on over-the-counter markets and summarizes the current credit derivatives market development. The main goal is to analyze the trend and regulation of contracts settlements through centralized counterparty and examine the current credit derivatives market activity.
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Metrics used in credit risk
Kožár, Ondrej ; Luc, Ladislav (advisor) ; Franěk, Petr (referee)
This thesis focuses on the issue of metrics used in credit risk. Specifically, the capital requirement, the NPL share and risk costs. The first section describes the credit risk and with what metrics can be measured. In this section you can also find out what parameters are required for their intended use, these parameters are the Probability of default, Amortization, Exposure, NPL and the Loss given default . The practical part of this work is devoted to the analysis of the situation in the Česká spořitelna and design solutions to identified problems. From this analysis crystallize two fundamental problems arising from lack of employee familiarity with metrics used in credit risk .For their solution is to use the first part of this paper an overview of metrics with clarifying some key features. The aim of this work was to create a comprehensive list of metrics used in credit risk, an explanation of their interaction and the use of tools to solve the problem situation in the Česká spořitelna.
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