|
|
Three Essays on Bank-Sourced Credit Risk Estimates
Štěpánková, Barbora ; Krištoufek, Ladislav (advisor) ; Teplý, Petr (referee) ; Seow, Hsin-Vonn (referee) ; Ansell, Jake (referee)
The aim of the thesis is to bring new insights into banks' internal credit risk estimates and their application in estimation of credit transition matrices, which are an important part of credit risk modelling with limited publicly available sources. The doctoral thesis consists of three essays that jointly analyse features of bank- sourced credit risk data and practicalities of transition matrices estimation. In the first essay, I empirically test two assumptions widely used for estimation of transition matrices: Markovian property and time homogeneity. The results indicate that internal credit risk estimates do not satisfy the two assumptions, showing evidence of both path-dependency and time heterogeneity even within a period of economic expansion. Contradicting previous findings based on data from credit rating agencies, banks tend to revert their past rating actions. The second essay analyses the extent to which transition matrices depend on the characteristics of the underlying overlapping bank-sourced credit risk datasets and the aggregation method. It outlines that the choice of aggregation approach has a substantial effect on credit risk model results. I also show that bank-sourced transition matrices are more dynamic than those produced by credit rating agencies and introduce industry-specific...
|
|
|
Population biology of rock outcrop plant Aurinia saxatilis ssp saxatilis
Šimáková, Terezie ; Münzbergová, Zuzana (advisor) ; Dostál, Petr (referee)
The rock outcrop plants are neglected group of plants, even though they include endangered or endemic species. Despite this fact, there is only a few of studies focusing at this topic. The aim of this thesis is to focus on this group of plants in terms of its population dynamics. Aurinia saxatilis ssp. saxatilis was chosen as a model species. It is a species of the Czech thermophyticum. Three populations were chosen and studied over three years. The population dynamics was compared between the populations by integral projection modelling (IPM) and matrix population modelling (MPM). The results of these two analytical approaches were compared to one another, too. The population growth rate (λ) predicts that one of the populations is stable, whereas the other two populations are declining. The highest elasticity is mostly for the seeds survival in the seed bank. The population growth rate does not differ distinctly between the two statistical approaches, IPM and MPM. In all cases the IPM λ is lower than the MPM λ. Within the IPM analysis, the influence of the substrate type was also studied. The analyses, however, did not indicate any major differences between the substrates. For maintaining the populations, it is necessary to protect the new seeds and seedling recruitment and to create the new space...
|
guest ::
