Relationship between Corporate Default Risk and Macroeconomic Indicators in Czech Republic

被引：0
|
作者：
Jerabek, Tomas [1 ]
Sefcik, Vladimir [1 ]
Malek, Zdenek [2 ]
机构：
[1] Coll Business & Hotel Management, Dept Econ & Management, Brno, Czech Republic
[2] Coll Business & Hotel Management, Dept Gastron, Brno, Czech Republic
来源：
VISION 2020: SUSTAINABLE ECONOMIC DEVELOPMENT, INNOVATION MANAGEMENT, AND GLOBAL GROWTH, VOLS I-IX, 2017 | 2017年
关键词：
corporate default; macroeconomic model; contegration; ERROR-CORRECTION;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Probability of default is a key parameter for estimating the credit losses. In the last decade, growing importance of this parameter, it serves as an important input factor for determining capital requirements for banks that use internal models to estimate the rating - IRB approach. Important significance has especially aggregate probability of default, which besides being a parameter of the credit risk, they are also the most important factor stress tests in the Czech Republic. This paper analyses the impact of macroeconomic variables in the modelling of corporate default, in terms of both short-run and long-run causal relationship.
引用
收藏
页码：4106 / 4116
页数：11
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