Překlad názvu: The impact of macroeconomic factors on financial institutions credit risk during the global financial crises, case in Czech Republic
Autoři: Jusufi, Gent ; Pečená, Magda (vedoucí práce) ; Rippel, Milan (oponent)
Typ dokumentu: Diplomové práce
Rok: 2012
Jazyk: eng
Abstrakt: This study aims to estimate the ratio of non-performing loans to total loans (NPL ratio), its determinants and its response to different macroeconomic shocks. As the last financial crises had negative impact on the economy of many countries of the world, we have to strive for preventive measures that would help us to fully or at least partly avoid future crises. It should be achieved by sound risk management practices of all financial institutions. Important part of these risk management practices shall be - among others - stress tests that would test the health of the institution under severe conditions and negative shocks. For this study the vector autoregression model (VAR methodology) is used to see the response of credit risk (in terms of NPL ratio) to macroeconomic shocks in the Czech Republic. The variables used for this study are quarterly time series data of the period from 2002 to 2011 (GDP, inflation rate, unemployment rate, koruna exchange rate (CZK/USD), and interest rate). For each of these variables the impulse response function was created, to show the impact of macroeconomic shocks and the speed of adjustment of NPL ratio to these shocks. Keywords: Financial Crises, Credit Risk Management, Non-performing loans, Macroeconomic Shocks, Czech Republic, VARs
Klíčová slova: Credit Risk Management; Czech Republic; Financial Crises; Macroeconomic Shocks; Non-performing loans; VARs; Credit Risk Management; Czech Republic; Financial Crises; Macroeconomic Shocks; Non-performing loans; VARs

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/40503

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-304808


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce