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Credit Risk Measurement in Manufacturing Industry Companies in the Czech Republic
Karas, Michal ; Dohnal, Mirko (referee) ; Hrvolová, Božena (referee) ; Myšková, Renáta (referee) ; Režňáková, Mária (advisor)
The purpose of this doctoral thesis is to create a new bankruptcy prediction model and also to design how to use this model for the purposes of credit risk measuring. The starting-point of this work is the analysis of traditional bankruptcy models. It was found out that the traditional bankruptcy model are not enough effective in the current economic conditions and it is necessary to create a new ones. Based on the identified deficiencies of the traditional models a set of two new model series was created. The first series of the created models is based on the use of parametric methods, and the second one is based on the use of newer nonparametric approach. Moreover, a set of factors which are able to identify an imminent bankruptcy was analyzed. It was found, that significant signs of imminent bankruptcy can be identified even five years before the bankruptcy occurs. Based on these findings a new model was created. This model incorporates variables of static and even dynamic character for bankruptcy prediction purposes. The overall classification accuracy of this model is 92.27% of correctly classified active companies and 95.65% of correctly classified bankrupt companies.
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Energy Performance Certificate as One of Mortgage Default Determinants in the Czech Republic
Strašlipka, Jakub ; Pečená, Magda (advisor) ; Švéda, Josef (referee)
This thesis examines effects of buildings' energy efficiency, approximated by energy performance certificates, on default probabilities of mortgages in the Czech Republic. Data for the analysis is provided by a large Czech bank - cleaned sample contains information on 125 641 loans and is split into three groups based on collateral energy performance. Logit regression is employed for calculation of default probabilities and variations in conventional default predic- tors are controlled for. It is shown that mortgages on properties with certificate classes A, B have lower probabilities of default than those with certificate classes C, D by 7.1 bp (about 40%), ceteris paribus, whereas no statistical difference is found between default probabilities of mortgages on properties with classes C, D and those with classes E, F, G. The results can be considered by local banks in creation of climate risk management frameworks or in assessments of policies' impacts, or by other stakeholders in managing their expectations from banks. Due to partial use of the bank's internally estimated certificate proxies in the analysis and inconclusive results in a subsample of official certificates, follow-up research to confirm this thesis' findings is recommended.
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Use of fuzzy logic for banking risk assessment
Maňková, Veronika ; Bobalová, Martina (referee) ; Janková, Zuzana (advisor)
The thesis focuses on the use of fuzzy logic in the banking sector for credit risk assessment. Artificial intelligence, especially the fuzzy logic method, is used to construct a model for evaluating whether a client poses a threat to the bank or not based on their creditworthiness. The determination of a client's creditworthiness involves the evaluation of both financial and non-financial indicators. The paper further describes the use of the MATLAB tool for the development and implementation of this model. The resulting model allows banks to better understand credit risk and enables them to make more informed lending decisions.
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Kvalita bankovních úvěrových portfolií a faktory jejich vývoje ve vybraných zemích EU
Slezáková, Markéta
This diploma thesis focuses on the quality development of bank loan portfolios in the Czech Republic, Federal Republic of Germany and Italy between 2000-2013. Firstly, based on expert studies, the reader is acquainted with the theoretical and methodological bases assessing the quality of loan portfolios, as well as the determinants, which influence credit quality and, finally, with the characteristics of the banking sectors in selected countries. The empirical section of thesis focuses to evaluate the quality of the selected bank loan portfolios in watched period and through correlation analysis is examined which of the selected macroeconomic indicators (GDP, unemployment, inflation, interbank offered rate) mostly affects the loans quality of selected economies. Consequently, there is also a regression analysis to assess the joint impact of individual determinants on loans quality.
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Impacts of European Bailout Programs on SMEs Distress rate
Tóthová, Simona ; Parrák, Radovan (advisor) ; Schneider, Ondřej (referee)
Master Thesis - Simona Tothova Abstract This thesis empirically investigates impact of countries' bailouts on probability of SME segment distress. The impact is examined by multi-period logit model where dependent variable is distress rate and explanatory variables includes self-constructed bailout variable, several binary predictors and firm-specific and macroeconomic control variables. The hypotheses are tested on dataset for period from 2005 to 2013 including observations from seven European countries which received financial assistance program (bailout) from Troika. Every bailout from Troika comes with the requirement for austerity measures and our results suggest that impact of bailouts on SMEs probability of distress are depended on the success of application in individual countries and the impacts are more positive in non euro-zone countries. Keywords Bailout, Financial crisis, Credit risk, SME segment, Distress rate Author's e-mail tothova.simona@gmail.com Supervisor's e-mail rado.parrak@gmail.com
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Credit Risk Models and Their Relationship with Economic Cycle
Jakubík, Petr ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
The significance of credit risk models has increased with the introduction of new Basel accord known as Basel II. The aim of this study is default rate modeling. This thesis follows the two possible approaches of a macro credit risk modeling. First, empirical models are investigated. Second, a latent factor model based on Merton's idea is introduced. Both of these models are derived from individual default probability models. We employed data over the time period from 1988 to 2003 of the Finnish economy in the first part of this thesis. Time series of bankruptcy and firm's numbers were used. Aggregate data for whole economy as well as industry specific data were available. First, linear vector autoregressive models was used in case of dynamic empirical model. We examined how significant macroeconomic indicators determined the default rate in the whole economy and in the industry specific sector. However these models cannot provide microeconomic foundation as latent factor models. We employed a one- factor model in our estimation although, multi-factor models were also considered. A one-factor model was estimated using disaggregated industrial data. This estimation can help understand relation between credit risk and macroeconomic indicators. Obtained results were used in the second part of this...
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Credit risk of subsidiaries of foreign banks in CEE countries
Cheng, Jiamin ; Hanzlík, Petr (advisor) ; Silva, Rui (referee) ; Baxa, Jaromír (referee)
This thesis aims to study the banking characteristics of the parent bank of foreign banks and the influence of the economic environment of the home country on the credit risk of subsidiaries. The study collected a data set of 32 foreign banks in eight CEE countries (joining the EU in 2004) from 2009 to 2020 and conducted an empirical analysis using a fixed-effect panel regression model. Credit risk (NPL) is used as the dependent variable, and the explanatory variable is divided into four groups according to the home country and host country, the bank level, and the macroeconomic level. The regression results show that the profitability of the parent bank has a negative impact, while the liquidity, size, capital, and credit risk of the parent bank has a positive impact on the credit risk of the subsidiary. Moreover, the inflation in the country where the parent bank is located has a negative influence on the credit risk of the subsidiary, while the GDP growth and unemployment rate in the country where the parent bank is located leads to an increase in credit risk. These results show that international risk is transferred from the parent country to the host country through a new channel for foreign banks. Key words: credit risk, fixed effects model, CEE countries, banking sytem, foreign bank
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The impact of the COVID-19 crisis on bank credit risk management
Lukášková, Karolína ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
iv Abstract 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. JEL Classification C12, C33, G01, G21 Keywords bank, COVID-19 crisis, credit risk management, Stringency index Title Author's e-mail Supervisor's e-mail...
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