|
|
Stress Testing of the Banking Sector in Emerging Markets A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
|
|
|
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...
|
|
|
Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing financial system's resilience to adverse events. This thesis describes the methodology of stress tests and illustrates stress testing for credit and market risks on real bank-by-bank data in two Balkan countries: Croatia and Serbia. Credit risk is captured by macroeconomic credit risk models that estimate default rates of corporate and household sectors. Setting-up the framework for countries that were not much covered in former studies and that face limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to emerging markets that suffer from similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
|
|
|
Stress Testing of the Banking Sector in Emerging Markets A Case of the Selected Balkan Countries
Vukelić, Tatjana ; Jakubík, Petr (advisor) ; Mejstřík, Michal (referee)
Stress testing is a macro-prudential analytical method of assessing the financial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank-by-bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting-up the framework for the countries that were not much covered in former studies and that face the limited availability of data has been the main challenge of the thesis. The outcome can help to reveal possible risks to financial stability. The methods described in the thesis can be further developed and applied to the emerging markets that suffer from the similar data limitations. JEL Classification: E37, G21, G28 Keywords: banking, credit risk, default rate, macro stress testing, market risk
|
|
|
Model of Risk and Losses of a Multigeneration Mortgage Portfolio
Šmíd, Martin
During the last decades, Merton-Vasicek factor model (1987), later generalize by Frye at al. (2000), became standards in credit risk management. We present a generalization of these models allowing multiple sub-portfolios of loans possibly starting at different times and lasting more than one period. We show that, given this model, a one-to-one mapping between factors and the overall default rate and the charge-off rate exists, is differentiable and numerically computable.
|
|
|
Multifactor dynamic credit risk model
Dufek, J. ; Šmíd, Martin
We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance.
|
|
|
Strategic Analysis of an Enterprise
Vlna, Lukáš ; Dvořák, Jiří (advisor) ; Lešetický, Ondřej (referee)
A main goal of the diploma thesis is to perform a strategic analysis of a selected enterprise with the purpose of examining a current situation and trends in external and internal environment of the enterprise, and, based on the analysis, to suggest recommendations concerning a future strategy of the company.
|
guest ::
