National Repository of Grey Literature 41 records found  beginprevious17 - 26nextend  jump to record: Search took 0.00 seconds. 
Predicting bank CAMELS and S&P ratings: the case of the Czech republic
Derviz, Alexis ; Podpiera, Jiří
This paper investigates the determinants of the movements in the long-term Standard & Poors and CAMELS bank ratings in the Czech Republic during the period when the three biggest banks, representing approximately 60% of the Czech banking sector’s total assets, were privatized (i.e., the time span 1998–2001).
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Credit risk, systemic uncertainties and economic capital requirements for an artificial bank loan portfolio
Derviz, Alexis ; Kadlčáková, Narcisa ; Kobzová, Lucie
This paper analyses the impact of different credit risk-based capital requirement implementations on banks’ need for capital. The capital requirements for an artificially constructed risky loan portfolio are calculated by applying the BIS approach, the two widespread commercial risk-measurement models, CreditMetrics and CreditRisk+, and, finally, an original synthetic model similar to KMV.
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FOREX Microstructure, Invisible Price Determinants, and the Central Bank's Understanding of Exchange Rate Formation
Derviz, Alexis
The paper investigates the transmission of macroeconomic factors into the price-setting behavior of a specific dealer in the FX market. This problem is viewed from the perspective of a central banker who observes the price evolution but does not make the market in the home currency. The analysis is based on a model of a multiple dealer market under two organizations: direct inter-dealer and brokered.
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Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market
Derviz, Alexis
The paper proposes a continuous time model of an FX market organized as a multiple dealership. The model reflects a number of salient features of the Czech koruna spot market. The dealers have costly access to the best available quotes.
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Methodological problems of quantitative credit risk modeling in the Czech economy
Derviz, Alexis ; Kadlčáková, Narcisa
This paper reviews the guidelines of “The New Basle Capital Accord” (NBCA) and four internal models of credit risk assessment. It treats them from the point of view of their underlying concepts, the institutional pre-conditions of their implementation and data requirements. We specially focus on the possibilities, difficulties and consequences of their application to the banking sector in the Czech Republic.
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Monetary Transmission and Asset - Liability management by financial institutions in transitional economies - implications for czech monetary policy
Derviz, Alexis
The paper deals with the transmission of monetary policy within the financial sector. The objective is to link an optimizing stochastic model of portfolio decisions by a representative financial institution with a number of features that this optimizing behavior implies for monetary transmission and credit conditions in a transitional economy. The main example is the intermediation performance of Czech financial sector in the years 1993 to 1999.
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Generalized asset return parity and the exchange rate in a financially open economy
Derviz, Alexis
This paper examines the parity conditions between assets denominated in different currencies, traded in a well-integrated segment of the international capital market, and derives the consequences for exchange rate expectations. The main objective is to assess the uncovered asset return parity for the Czech koruna exchange rate.
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Global Economic Outlook - May 2011
Babecká, Oxana ; Klíma, Milan ; Hošek, Jan ; Benecká, Soňa ; Derviz, Alexis
Výhledy HDP, inflace, předstihových ukazatelů, úrokových sazeb, měnových kurzů a cen komodit. V rámci rubriky „Zaostřeno na…“ obsahuje zpráva analýzu Vítězové a poražení ekonomické krize pohledem evropských investorů.
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Přeshraniční úvěrová nákaza v nadnárodních bankách
Derviz, Alexis ; Podpiera, J.
Lending contagion in multinational banks is studied theoretically and empirically. In the proposed model, contagion arises due to shareholder-manager delegation and precautionary motives. Empirically, more than one half of the multinational banks in our representative sample show signs of lending contagion.

National Repository of Grey Literature : 41 records found   beginprevious17 - 26nextend  jump to record:
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