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Credit risk and stress testing of the Czech Banking Sector

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  • Petr Jakubik

    ()
    (Czech National Bank)

Abstract

This paper deals with sectoral credit risk in the Czech economy. It follows structural Merton‘ s approach. Latent factor models are employed within this framework. The credit risk models for the corporate and household sectors in the Czech Republic were estimated in this manner. They are able to capture the effects of macroeconomic changes on the sectoral credit risk in the economy. The results of this study can be used for the improvement of the Czech banking sector stress test. The models enable the stress tests to be linked to the Czech National Bank’s official quarterly macroeconomic forecast.

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File URL: http://www.vsfs.cz/periodika/acta-2008-03.pdf
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Bibliographic Info

Article provided by University of Finance and Administration in its journal ACTA VSFS.

Volume (Year): 2 (2008)
Issue (Month): 1 ()
Pages: 107-123

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Handle: RePEc:prf:journl:v:2:y:2008:i:1:p:107-123

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  1. 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.).
  2. Boris Hofmann, 2001. "The determinants of private sector credit in industrialised countries: do property prices matter?," BIS Working Papers 108, Bank for International Settlements.
  3. John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
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