Credit Risk in the Czech Economy

Petr Jakubík

No 2007/11, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

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.

Keywords: banking; credit risk; latent factor model; default rate; stress test (search for similar items in EconPapers)
JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2007-03, Revised 2007-03
New Economics Papers: this item is included in nep-ban, nep-eec, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (2)

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