Work detail

The impact of the COVID-19 crisis on bank credit risk management

Author: Mgr. Karolína Lukášková
Year: 2021 - summer
Leaders: prof. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 84
Awards and prizes:
Link: https://dspace.cuni.cz/handle/20.500.11956/150206
Abstract: 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.

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