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The impact of the COVID-19 crisis on bank corporate credit risk management in the US and the UK
Kořínek, Matěj ; Teplý, Petr (advisor) ; Kraicová, Lucie (referee)
The thesis deals with bank corporate credit risk management during the COVID-19 crisis in the US and the UK. As a proxy of corporate credit risk, we employ corporate aggregate probability of default provided by Credit Benchmark. To measure the impact of the crisis on corporate aggregate probability of default, we use variables representing macroeconomic and financial market environments. Furthermore, as proxies for the COVID-19 shock and governments' fiscal measures, we employ COVID-19 stringency index and dummy variable(s), respectively. Our data set consists of 60 monthly observations, and by its structure is suitable for time series analysis. The analysis is based on Ordinary Least Squares, Two Stage Least Squares, and Generalized Method of Moments estimations. The results show that fiscal measures "artificially" decreased change of corporate aggregate probability of default in both countries. We recommend that the respective bank credit risk managers incorporate proxies representing fiscal measures in their estimation of through-the-cycle probability of default that serves as an input for calculating regulatory capital. Besides, a variable representing stringency index is found to be significant in the US's model. Thus, we recommend using such a proxy as input for stress testing in the US.
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Current regulation governing acquisition financing
Petrů, Jan ; Kohajda, Michael (advisor) ; Sejkora, Tomáš (referee)
Current regulation governing acquisition financing Abstract The thesis deals with financing of share deal acquisition operations. The first chapter points out idiosyncrasies of acquisition operations, providing context for the rest of the thesis. The second chapter deals with loan financing, one of the two financing methods described. The chapter starts off with Czech Civil Code's rules governing loans and goes on to provide an overview of stipulations used in corporate banking practice, including the usual arrangement of rights and obligations of lenders and borrower in case of syndicated loans. A subchapter about credit risk rounds off the second chapter. Not restricted to public law regulation, it describes derivatives used to hedge against credit risk and touches upon the influence of regulation on cost of loan financing. The third chapter is about bond financing. It offers a robust overview of Czech rules governing bonds as nominate debt securities and their issue. The consequent subchapter on placement of bonds handled by an investment firm serves as an equivalent of the banking practice- focused subchapter. Subjects that perform various tasks after placement in order to simplify the administration of a given issue are a topic which completes the third chapter. The conclusion of the thesis sets out...
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The Management of Credit Risk SME Segment
Ježek, Michal ; Ulrich, Milan (advisor) ; Stanislav, Stanislav (referee)
Diploma thesis Credit risk management of SME segment is engaged in the credit process in the segment of entrepreneurs and small business owners, and also part of the segment of the public and nonprofit sectors in an existing bank operating in the Czech market. In the theoretical part there are defined basic approaches in bank risk management and their divisions. Follows overview of the different approaches. Another part is more detail devoted to credit risk. Credit risk is then solved by the credit case, incl. analysis of the credit approval process. Emphasis is also placed on the rating process by which the credit approval begins and ends.
The practical part of the work is focused on the analysis of product portfolio of the bank. The work deals with various credit products of the banks in this segment, in terms of supportability, delinquency, and overall risk. The second part is an analysis of the portfolio in terms of individual sectors, where are evaluated selected risky and less risky sectors.
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Analysis of the credit process in small and medium enteprises
Gronský, David ; Brada, Jaroslav (advisor) ; Kováč, Michal (referee)
This diploma thesis deals with an analysis of the credit process in small and medium enterprises. First part describes financial risks, to which banks are exposed with a special emphasis on a credit risk. The next chapter describes the process of a risk management, particularly its individual phases such as identification, measurement, securing and monitoring. The third part discusses each phase of the loan process that represents the risk mitigation strategy on the level of a single trade. In the forth part a loan application of a particular applicant is being thoroughly analysed. The last, fifth part sums up a development of conditions on a credit market in small and medium enterprises.
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Krátkodobé financování mezinárodního obchodu
Beránková, Kateřina ; Černohlávková, Eva (advisor) ; Vlčková, Veronika (referee)
This diploma thesis deals with the short-term methods of export financing and with credit risk management of the exporter. The part of this work desribes the trade credits, bank credits and factoring as a common instruments of international trade financing. The last part of this work try to bring together the impacts of financial crisis on trade credit availability and export credit insurance.
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Credit Risk Management in the Leasing Company
Václavíková, Petra ; Půlpánová, Stanislava (advisor) ; Hradil, Dušan (referee)
This thesis is focused on the credit risk management in the leasing company. Firstly, the attention is paid to leasing market in the Czech Republic and leasing by itself. Afterwards are described risks which leasing companies during their business activities are exposed. Emphasis is placed mainly on the credit risk management. Major part of the thesis deals with ex-ante and ex-post credit risk analysis in leasing business. At first is analyzed approval of the business transaction. Below the process of administration of debtor's statement in the leasing company is analyzed. Final case study performs the practical application of methods and procedures in the credit risk management.
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Appraisal credit analysis as a tool for reducing credit risk
Kadlčková, Šárka ; Blahová, Naděžda (advisor)
This thesis deals with the bank's credit risk, its characterization and classification, followed-up by methods and tools used to its managing and reducing. The methods used refer to credit rating, credit scoring, credit registers and qualified estimation as subjective assessment element, which is further analysed in detail. In the theoretical part, the thesis defines factors impacting the business risk and provides view on financial risk evaluation. The analytical part deals with specific model credit risk assessment of the selected subject, based on techniques described in the theoretical part. In conclusion, there is evaluation of using various methods and their importance in practice.
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