Publication detail

Macroeconomic Environment and Credit Risk

Author(s): doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.,
Type: Articles in journals with impact factor
Year: 2007
Number: 4
Published in: Czech Journal of Economics and Finance, 57(1-2), pp. 60 - 78
Publishing place: Praha
Keywords: banking; credit risk; default rate; latent-factor model; stress test
JEL codes: G21, G28, G33
Suggested Citation:
Grants: 402/05/2123 (2005-2007) Efficiency of Financial Markets and New Basel Capital Accord (NBCA) IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: 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.




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