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Credit Risk in the Czech Economy

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Abstract

This paper deals with credit risk in the Czech aggregate economy. It follows structural Merton's approach. A latent factor model is employed within this framework. Estimation of this model can help to understand relation between credit risk and macroeconomic indicators. The credit risk model of the Czech aggregate economy was estimated in this manner for purpose of stress testing. The results of this study can be used for stress testing of banking sector.

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File URL: http://ies.fsv.cuni.cz/default/file/download/id/5238
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Bibliographic Info

Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2007/11.

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Length: 21 pages
Date of creation: Mar 2007
Date of revision: Mar 2007
Handle: RePEc:fau:wpaper:wp2007_11

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

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Cited by:
  1. Karel Janda, 2011. "Credit Guarantees and Subsidies when Lender has a Market Power," Working Papers IES 2011/18, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
  2. Karel Janda, 2009. "Bankruptcies With Soft Budget Constraint," Manchester School, University of Manchester, vol. 77(4), pages 430-460, 07.

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