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  • 1
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2018-02-08
    Description: This study proposes the potential methodological approach to be utilized by regulators when setting up a Long-Term Rate (LTR) for the evaluation of insurers' liabilities beyond the last liquid point observable in the market. Our approach is based on the optimization of two contradictory aspects - stability and accuracy implied by economic fundamentals. We use U.S. Treasury term structure data over the period 1985-2015 to calibrate an algorithm that dynamically revises LTR based on the distance between the value implied by long-term growth of economic fundamentals in a given year and the regulatory value of LTR valid in a year prior. We employ both Nelson-Siegel and Svensson models to extrapolate yields over maturities of 21-30 years employing the selected value of the LTR and compare them to the observed yields using mean square error statistic. Furthermore, we optimise the parameter of the proposed LTR formula by minimising the defined loss function capturing both mentioned factors.
    Keywords: E43 ; G22 ; L51 ; M21 ; ddc:330 ; Long term rate ; Nelson-Siegel ; Svensson ; Term structure of interest rates ; Extrapolation
    Language: English
    Type: doc-type:workingPaper
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  • 2
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2013-10-01
    Description: This paper studies the economic impact of the current global economic downturn on the household sector. Household budgets can be negatively affected by declines in nominal wages and increases in unemployment. We empirically test this effect for the small open emerging economy. As a result of a lack of individual data on household finances, micro data are simulated. Our analysis clearly shows that there is a significant additional decline in consumption related to an increase in household default rates and unemployment. We find that potential household insolvencies have important implications for the financial system as well as for the macroeconomy.
    Keywords: G28 ; G32 ; G33 ; G38 ; ddc:330 ; credit cycle ; households' distress ; insolvency ; household default ; aggregate consumption
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2013-10-01
    Description: Tato studie se zabývá otázkou, zda nekoordinovaná opatření některých států měnící parametry národních systémů pojištění vkladů zavedená v polovině roku 2008 mohla vést k přesunu vkladů mezi členskými státy Evropské unie. Pozornost je věnována především důsledkům zavedení neomezené výše pojistných limitů a možnému přesunu vkladů do zemí, které je zavedly. Detailně jsou rozebrány změny z podzimu 2008 a novelizovaná Směrnice o pojištění vkladů. Provedená empirická analýza naznačuje vliv zavedených garancí na tempa růstu vkladů v jednotlivých zemích. Studie se dále soustřeďuje na důsledky zavedených opatření a posuzuje možnosti budoucího vývoje.
    Keywords: G01 ; G21 ; G38 ; ddc:330 ; pojištění vkladů ; pojistný limit ; Evropská unie ; státní garance ; finanční krize ; morální hazard ; Einlagensicherung ; EU-Staaten
    Language: Czech
    Type: doc-type:workingPaper
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  • 4
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2013-10-01
    Description: This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast majority of non-financial corporations use the services of just one relationship lender. Small and young firms in technology- and knowledge-intensive industries tend to concentrate their credit needs in a single bank, whereas less creditworthy firms and firms in cyclical industries tend to borrow from more than one bank. The analysis also reveals different behaviour of firms towards financing banks in case of multiple lenders. Finally, the paper shows that the level of credit risk at bank level decreases in line with the extent to which firms applying single relationship lending occur in the bank's portfolio.
    Keywords: G21 ; G32 ; ddc:330 ; relationship banking ; credit risk ; Bankgeschäft ; Kreditgeschäft ; Hausbank ; Kreditrisiko ; Tschechische Republik
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2018-02-08
    Description: The current macro-economic and financial conditions remain extremely challenging for the European insurance sector. Under the ongoing low yield environment insurers are changing their business models and looking for new investment and business opportunities to improve their profitability and the overall solvency positions. This is also reflected in an increasing interest in mergers and acquisitions to achieve sufficient returns. However, there is no clear answer in the literature whether this strategy brings the expected positive results. This study empirically tests the effects of mergers and acquisitions (M&A) on share prices of European insurers via an event study. Our results do not confirm the positive impact of such strategies on acquirers' share prices delivering abnormal returns for shareholders.
    Keywords: ddc:330 ; Übernahme ; Ankündigungseffekt ; Kapitalmarktrendite ; Versicherung ; Europa
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2013-10-01
    Description: This article presents a financial scoring model estimated on Czech corporate accounting data. Seven financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of the Czech corporate sector (named as JT index) is then constructed and its evolution over time is shown. This indicator aids the estimation of the risks of this sector going forward and broadens the existing analytical set-up used by the Czech National Bank for its financial stability analyses. The results suggest that the creditworthiness of the Czech corporate sector steadily improved between 2004 and 2006, but slightly deteriorated in 2007 what could be explained through global market turbulences.
    Keywords: G32 ; G33 ; G21 ; G28 ; ddc:330 ; bankruptcy prediction ; financial stability ; logit analysis ; corporate sector risk ; JT index ; Insolvenz ; Kreditwürdigkeit ; Prognoseverfahren ; Logit-Modell ; Schätzung ; Tschechische Republik
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Prague: Charles University in Prague, Institute of Economic Studies (IES)
    Publication Date: 2015-10-02
    Description: Credit risk assessment is a crucial part of macroprudential analysis, with the aggregate nonperforming loan (NPL) ratio serving as a proxy for the economy-wide probability of default of the banking sector's overall loan exposure. Therefore, the factors driving the NPL ratio deserve a lot of interest. This study provides a macroeconomic model for nonperforming loans (NPLs) for the Central, Eastern and Southeastern European (CESEE) countries. It is based on panel data for Bulgaria, Croatia, the Czech Republic, Hungary, Poland, Romania, Russia, Slovakia and Ukraine. In line with current literature, our empirical analysis confirms that economic growth is the main driver that is negatively correlated with NPL development. This inverse relation is also indicated by the stock index as a leading indicator for economic developments. However, there are also other important determinants that can help explain the change in NPL ratios in the CESEE countries: past credit growth as well as exchange rate changes coupled with the share of foreign currency loans in total loans. This study confirms and quantifies risk of excessive credit growth as well as foreign exchange lending.
    Keywords: G28 ; G32 ; G33 ; G38 ; ddc:330 ; nonperforming loans ; credit risk ; financial stability ; macroprudential framework ; Central ; Eastern and Southeastern Europe (CESEE) ; emerging Europe
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Helsinki: Bank of Finland, Institute for Economies in Transition (BOFIT)
    Publication Date: 2020-01-18
    Description: This paper studies the economic impact of the current global economic downturn on the household sector. Household budgets can be negatively affected by declines in nominal wages and increases in unemployment. We empirically test this effect for the small open emerging economy. As a result of a lack of individual data on household finances, micro data are simulated. Our analysis clearly shows that there is a significant additional decline in consumption related to an increase in household default rates and unemployment. We find that potential household insolvencies have important implications for the financial system as well as for the macroeconomy.
    Keywords: ddc:330
    Language: English
    Type: doc-type:workingPaper
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  • 9
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    Helsinki: Bank of Finland, Institute for Economies in Transition (BOFIT)
    Publication Date: 2020-01-18
    Description: The recent financial crisis emphasised the need for effective financial stability analyses and tools for detecting systemic risk. This paper looks at assessment of banking sector resilience through stress testing. We argue such analyses are valuable even in emerging economies that suffer from limited data availability, short time series and structural breaks. We propose a top-down stress test methodology that employs relatively limited information to overcome this data problem. Moreover, as credit growth in emerging economies tends to be rather volatile, we rely on dynamic approach projecting key balance sheet items. Application of our proposed stress test framework to the Russian banking sector reveals a high sensitivity of the capital adequacy ratio to the economic cycle that shows up in both of the two-year macroeconomic scenarios considered: a baseline and an adverse one. Both scenarios indicate the need for capital increase in the Russian banking sector. Furthermore, given that Russia's banking sector is small and fragmented relative to advanced economies, the loss of external financing can cause profound economic stress, especially for medium-sized and small enterprises. The Russian state has a low public debt-to-GDP ratio and plays decisive role in the banking sector. These factors allow sufficient fiscal space for recapitalisation of problematic banks under both of our proposed baseline and adverse scenarios.
    Keywords: G28 ; P34 ; G21 ; ddc:330 ; stress testing ; bank ; Russia
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Frankfurt a. M.: European Central Bank (ECB)
    Publication Date: 2017-02-24
    Description: Using a novel panel data set we study the macroeconomic determinants of nonperforming loans (NPLs) across 75 countries during the past decade. According to our dynamic panel estimates, the following variables are found to significantly affect NPL ratios: real GDP growth, share prices, the exchange rate, and the lending interest rate. In the case of exchange rates, the direction of the effect depends on the extent of foreign exchange lending to unhedged borrowers which is particularly high in countries with pegged or managed exchange rates. In the case of share prices, the impact is found to be larger in countries which have a large stock market relative to GDP. These results are robust to alternative econometric specifications.
    Keywords: G21 ; G28 ; G32 ; F34 ; ddc:330 ; Credit risk ; currency mismatches ; non-performing loans
    Language: English
    Type: doc-type:workingPaper
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