@article{3183,
   author = {Jakubík, Petr},
   article_location = {Praha},
   article_number = {1},
   language = {eng},
   issn = {1802-792X},
   journal = {ACTA VŠFS},
   title = {Credit Risk and Stress Testing of the Czech Banking Sector},
   volume = {2008},
   year = {2008}
}

TY  - JOUR
ID  - 3183
AU  - Jakubík, Petr
PY  - 2008
TI  - Credit Risk and Stress Testing of the Czech Banking Sector
JF  - ACTA VŠFS
VL  - 2008
IS  - 1
SP  - 107-123
EP  - 107-123
PB  - Vysoká škola finanční a správní, o.p.s.
SN  - 1802792X
N2  - This paper deals with sectoral credit risk in the Czech economy. It follows structural Merton‘ s approach. Latent factor models are employed within this framework. The credit risk 122 Acta všfs, 1/2008, roč. 2 models for the corporate and household sectors in the Czech Republic were estimated in this manner. They are able to capture the effects of macroeconomic changes on the sectoral credit risk in the economy. The results of this study can be used for the improvement of the Czech banking sector stress test. The models enable the stress tests to be linked to the Czech National Bank’s official quarterly macroeconomic forecast.
ER  - 

JAKUBÍK, Petr. Credit Risk and Stress Testing of the Czech Banking Sector. \textit{ACTA VŠFS}. Praha: Vysoká škola finanční a správní, o.p.s., 2008, vol.~2008, No~1, p.~107-123. ISSN~1802-792X.