Credit Risk in the Czech Economy

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Credit Risk in the Czech Economy

Author Info

Petr Jakubík () (Czech National Bank, Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)

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Petr Jakubik

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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Publisher 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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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

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-03-17 (All new papers)
NEP-BAN-2007-03-17 (Banking)
NEP-EEC-2007-03-17 (European Economics)
NEP-FMK-2007-03-17 (Financial Markets)
NEP-RMG-2007-03-17 (Risk Management)

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.:

Nauro F. Campos & Roman Horváth, 2006. "Reform Redux: Measurement, Determinants and Reversals," Working Papers IES 2006/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006. [Downloadable!]
Other versions:
- Campos, Nauro F & Horváth, Roman, 2006. "Reform Redux: Measurement, Determinants and Reversals," CEPR Discussion Papers 5673, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Nauro F. Campos & Roman Horváth, 2006. "Reform Redux: Measurement, Determinants and Reversals," IZA Discussion Papers 2093, Institute for the Study of Labor (IZA). [Downloadable!]
Michal Bauer & Julie Chytilová & Pavel Streblov, 2006. "Effects of Education on Determinants of High Desired Fertility: Evidence from Ugandan Villages," Working Papers IES 2006/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2006. [Downloadable!]
Other versions:
- Michal Bauer & Julie Chytilová & Pavel Streblov, 2007. "Effects of Education on Determinants of High Desired Fertility: Evidence from Ugandan Villages," AUCO Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(3), pages 286-301, November. [Downloadable!]
Michal Bauer & Julie Chytilová, 2007. "Does Education Matter in Patience Formation? Evidence from Ugandan Villages," Working Papers IES 2007/10, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2007. [Downloadable!]

Full references

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.)

Karel Janda, 2007. "Instituce státní úvěrové podpory v České republice [available in Czech only]," Working Papers IES 2007/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2007. [Downloadable!]
Ondřej Schneider, 2007. "The EU Budget Dispute - A Blessing in Disguise?," Working Papers IES 2007/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2007. [Downloadable!]
Other versions:
- Ondrej Schneider, 2006. "The EU Budget Dispute - A Blessing in Disguise?," Research and Policy Notes 2006/01, Czech National Bank, Research Department. [Downloadable!]
- Ondrej Schneider, 2007. "The EU Budget Dispute – A Blessing in Disguise?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
- Ondrej Schneider, 2007. "The EU Budget Dispute – A Blessing in Disguise?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 304-323, September. [Downloadable!]

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