Macroeconomic Environment and Credit Risk (in English)

Petr Jakubík

Czech Journal of Economics and Finance (Finance a uver), 2007, vol. 57, issue 1-2, 60-78

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.

Keywords: banking; credit risk; default rate; latent-factor model; stress test (search for similar items in EconPapers)
JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:57:y:2007:i:1-2:p:60-78

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