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Methodological Problems of Quantitative Credit Risk Modeling in the Czech Economy
Company: Czech National Bank
Year Of Publication: 2001
Month Of Publication: January
Pages: 77
Download Count: 1188
View Count: 6909
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 4-12-2004
Publisher: Administrator
This paper reviews the guidelines of “The New Basle Capital Accord” (NBCA) andfour internal models of credit risk assessment. We treat them from the point of view oftheir underlying concepts, the institutional pre-conditions of their implementation anddata requirements. We specially focus on the possibilities, difficulties andconsequences of their application to the banking sector in the Czech Republic. Thedescription of each model focuses on the underlying assumptions, characteristicsand theoretical approaches and a brief discussion of their main advantages andlimitations. Comparisons among models aim at identifying their common features andpoints of departure. Last but not least, we try to assess the potential impact that theuse of these models could have on credit allocation in the Czech economy, and,consequently, on the resulting environment for the conduct of monetary policy. Anumber of preliminary recommendations for the models’ implementation in thiscountry are formulated.The views and opinions expressed in this study are those of the authorand are not necessarily those of the Czech National Bank.
Derviz, Alexis Sign in to follow this author
Kadlčáková, Narcisa Sign in to follow this author
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