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	Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory Kadlčáková, Narcisa ; Komárek, Luboš ; Komárková, Zlatuše ; Hlaváček, Michal This paper examines the potential for concurrence of crises in the foreign exchange, stock, and government bond markets as well as identifying asset price misalignments from equilibrium for three Central European countries and the euro area. Concurrence is understood as the joint occurrence of extreme asset changes in different countries and is assessed with a measure of the asymptotic tail dependence among the distributions studied. However, the main aim of the paper is to examine the potential for concurrence of misalignments from equilibrium among financial markets. To this end, representative assets are linked to their fundamentals using a cointegration approach. Next, the extreme values of the differences between the actual daily exchange rates and their monthly equilibrium values determine the episodes associated with large departures from equilibrium. Using tools from Extreme Value Theory, we analyze the transmission of both standard crisis and misalignment-from-equilibrium formation events in the foreign exchange, stock, and government bond markets examined. The results reveal significant potential for co-alignment of extreme events in these markets in Central Europe. The evidence for co-movements is found to be very weak for the exchange rates, but is stronger for the stock markets and bond markets in some periods. Fulltext: PDF Detailed record
	Global Economic Outlook - September 2012 Babecká, Oxana ; Klíma, Milan ; Benecká, Soňa ; Adam, Tomáš ; Komárek, Luboš ; Kadlčáková, Narcisa Výhledy HDP, inflace, předstihových ukazatelů, úrokových sazeb, měnových kurzů a cen komodit. V rámci rubriky „Zaostřeno na…“ obsahuje zpráva text "Zahraniční cenné papíry držené americkými subjekty versus americké cenné papíry držené zahraničními subjekty: Jaký je trend?". Fulltext: PDF Detailed record
	Does Central Bank Financial Strength Matter for Inflation? An Empirical Analysis Soňa Benecká ; Benecká, Soňa ; Holub, Tomáš ; Kadlčáková, Narcisa Liliana ; Kubicová, Ivana This paper analyses empirically the link between central bank financial strength and inflation. The issue has become very topical in recent years as many central banks have accumulated large financial exposures and the risk of losses has risen. We conclude that even though some estimates show a statistically significant and potentially non-linear negative relationship between several measures of central bank financial strength and inflation, this link appears rather weak and not as robust as suggested by the previous – very limited – literature. Fulltext: PDF Detailed record
	Credit risk and bank lending in the Czech republic Kadlčáková, Narcisa ; Keplinger, Joerg This project undertakes an empirical analysis in credit risk modeling using a data sample representative of bank lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating system are described and tested in practice. Fulltext: PDF Detailed record
	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. Fulltext: PDF Detailed record
	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. Fulltext: PDF Detailed record
	Global Economic Outlook - August 2011 Babecká, Oxana ; Klíma, Milan ; Novotný, Filip ; Benecká, Soňa ; Hošek, Jan ; Kadlčáková, Narcisa ; Adam, Tomáš Výhledy HDP, inflace, předstihových ukazatelů, úrokových sazeb, měnových kurzů a cen komodit. V rámci rubriky „Zaostřeno na…“ obsahuje zpráva analýzu Zvýšená nejistota na finančních trzích eurozóny. Fulltext: PDF Detailed record

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1	Kadlčáková, Narcisa Liliana

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