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Macroeconomic Environment and Credit Risk (in English)

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Author Info
Petr JAKUBÍK () (Czech National Bank, Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

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Abstract

The importance of credit-risk models has increased with the introduction of the New Basel Capital Accord (Basel II). This paper follows Merton´s approach to structural analysis, toward default-rate modeling. A latent-factor model is introduced within this framework. Estimation of this model can help further our understanding of the relationship between credit risk and macroeconomic indicators. The results have been used for stress testing the Czech banking sector.

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Publisher Info
Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 57 (2007)
Issue (Month): 1-2 (March)
Pages: 60-78
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Handle: RePEc:fau:fauart:v:57:y:2007:i:1-2:p:60-78

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Related research
Keywords: banking; credit risk; default rate; latent-factor model; stress test;

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Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Tudela, Merxe & Garry Young, 2003. "A Merton Model Approach to Assessing the Default Risk of UK Public Companies," Royal Economic Society Annual Conference 2003 207, Royal Economic Society. [Downloadable!]
    Other versions:
  2. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005. "Procyclicality and the new Basel Accord - banks’ choice of loan rating system," Economic Theory, Springer, vol. 26(3), pages 537-557, October. [Downloadable!] (restricted)
    Other versions:
  3. Andrew Benito & Francisco Javier Delgado & Jorge Martínez Pagés, 2004. "A synthetic indicator of financial pressure for spanish firms," Banco de España Working Papers 0411, Banco de España. [Downloadable!]
  4. André Lucas & Siem Jan Koopman, 2005. "Business and default cycles for credit risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 311-323. [Downloadable!]
    Other versions:
  5. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006. [Downloadable!]
  6. André Lucas & Pieter Klaassen, 2003. "Discrete versus Continuous State Switching Models for Portfolio Credit Risk," Tinbergen Institute Discussion Papers 03-075/2, Tinbergen Institute, revised 30 Sep 2003. [Downloadable!]
    Other versions:
  7. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre. [Downloadable!]
  9. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Karel Janda, 2008. "Which Government Interventions Are Good in Alleviating Credit Market Failures?," Working Papers IES 2008/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2008. [Downloadable!]
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This page was last updated on 2009-12-3.

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