The impact of the COVID-19 crisis on bank credit risk management
| Autor: | Mgr. Karolína Lukášková |
|---|---|
| Rok: | 2021 - letní |
| Vedoucí: | prof. PhDr. Petr Teplý Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 84 |
| Ocenění: | |
| Odkaz: | https://dspace.cuni.cz/handle/20.500.11956/150206 |
| Abstrakt: | This diploma thesis examines the impact of the COVID-19 crisis on the bank credit risk in the European Union. The analysis is performed using two sets of panel data. The first set contains data at the bank-level between 2012 and 2018 and is obtained from BankFocus batabase and the second set of data is obtained from the EBA Risk dashboard and contains data at the country-level between 2014 and 2020. Both datasets contain bank-specific variables and macroeconomic variables. We use the variables Cost of risk, Total capital ratio, Tier 1 ratio and NPE ratio as dependent variables. As representatives of the COVID-19 shock, we use the number of people infected with this disease, the number of deaths from this disease and the Stringency Index. We employ the GMM system for our analysis and test 5 hypotheses. We did not reject 3 hypotheses, namely that Cost of risk is a key determinant of credit risk and that the crisis caused by COVID-19 affects the variables Capitalo ratio and NPE ratio. We further concluded that the variables representing COVID-19 do not have a negative effect on credit risk, mainly due to the interventions of the ECB and the IASB. |
