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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.

Suggested Citation

  • Petr Jakubík, 2007. "Credit Risk in the Czech Economy," Working Papers IES 2007/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2007.
  • Handle: RePEc:fau:wpaper:wp2007_11
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    File URL: http://ies.fsv.cuni.cz/default/file/download/id/5238
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    Cited by:

    1. Karel Janda, 2009. "Bankruptcies With Soft Budget Constraint," Manchester School, University of Manchester, vol. 77(4), pages 430-460, July.
    2. 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.

    More about this item

    Keywords

    banking; credit risk; latent factor model; default rate; stress test;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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