Macroeconomic Environment and Credit Risk
| Autor: | doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., |
|---|---|
| Typ: | Články v impaktovaných časopisech |
| Rok: | 2007 |
| Číslo: | 4 |
| ISSN / ISBN: | |
| Publikováno v: | Czech Journal of Economics and Finance, 57(1-2), pp. 60 - 78 |
| Místo vydání: | Praha |
| Klíčová slova: | banking; credit risk; default rate; latent-factor model; stress test |
| JEL kódy: | G21, G28, G33 |
| Citace: | |
| Granty: | 402/05/2123 (2005-2007) Efektivnost na finančních trzích a nová basilejská dohoda (NBCA) Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj |
| Abstrakt: | 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. |
