Credit Risk in the Macroprudential Framework: Three Essays

• Název práce v češtině: Credit Risk in the Macroprudential Framework: Three Essays
• Název v anglickém jazyce: Credit Risk in the Macroprudential Framework: Three Essays
• Klíčová slova: ztrátovost ze selhání, kreditní riziko, Basel III, proticyklický kapitálový polštář, zátěžové testy
• Klíčová slova anglicky: loss given default, credit risk, Basel III, countercyclical capital buffer, stress-testing
• Akademický rok vypsání: 2011/2012
• Typ práce: disertační práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Ing. Oldřich Dědek, CSc.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 19.07.2012
• Datum zadání: 19.07.2012
• Datum a čas obhajoby: 25.09.2012 17:00
• Místo konání obhajoby: IES, Opletalova 26, místnost 206
• Datum odevzdání elektronické podoby: 24.07.2012
• Datum proběhlé obhajoby: 25.09.2012
• Oponenti: prof. RNDr. Jiří Witzany, Ph.D.

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Předběžná náplň práce

Disertační práce se zabývá identifikací kreditního rizika v souvislosti s makroobezřetnostní politikou, jejíž cílem je zmírnit vznik systémového rizika a přispět k vyšší stabilitě finančního sektoru. První esej se zabývá klíčovým parametrem kreditního rizika – ztrátovostí ze selhání (loss given default – LGD). Podrobně je ilustrováno odvození vzorce pro výpočet očekávaného LGD pomocí upraveného Mertonova modelu a následně je diskutována citlivostní analýza LGD vzhledem k ostatním strukturálním ukazatelům společnosti. Na závěr jsou odhadnuty očekávané LGD v pětiletém horizontu pro vybrané společnosti kotované na Burze cenných papírů Praha. Výpočty ukazují, že průměrné LGD analyzovaného vzorku firem se pohybuje mezi 20–50 %.
Druhý článek se věnuje otázce, jak nejlépe určit, zda pozorované zadlužení privátního sektoru je již nadměrné v souvislosti s makroobezřetnostním nástrojem navrhovaným Basilejským výborem pro bankovní dohled, tzv. proticyklickým kapitálovým polštářem. Empirická analýza na vybraných zemích střední a východní Evropy včetně ČR ukazuje alternativní odhady indikátoru nadměrného zadlužení privátního sektoru a naznačuje, že výpočet pomocí HP filtru navrhovaný Basilejským výborem nemusí být pro konvergující země vhodným indikátorem nadměrného růstu úvěrů.
Poslední esej shrnuje metodologii zátěžových testů bankovního sektoru ČNB a zaměřuje se na otázku kalibrace modelů určených pro odhad rizik v bankovním systému. Text dokládá, že nastavení předpokladů zátěžových testů a využívaných dílčích modelů by mělo být konzervativní a rizika by měla být spíše nadhodnocována. Verifikace zátěžového aparátu využívaného ČNB naznačuje, že model je nastaven správně na pesimistické straně. Článek zároveň shrnuje, že verifikace agregovaných testů by měla být běžnou součástí zátěžového testování a měla by být využita pro další zpřesňování celého aparátu zátěžových testů.

Předběžná náplň práce v anglickém jazyce

This thesis focuses on proper credit risk identification with respect to macroprudential policies, which should mitigate systemic risk accumulation and contribute to higher financial stability of the financial sector. The first essay deals with a key credit risk parameter – Loss Given Default (LGD). We illustrate how the LGD can be estimated with the help of an adjusted Mertonian structural approach. We present a derivation of the formula for expected LGD and show its sensitivity analysis with respect to other company structural parameters. Finally, we estimate the five-year expected LGDs for companies listed on Prague Stock Exchange and find that the average LGD for the analyzed sample is around 20–50%.
The second essay examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the “countercyclical capital buffer”, a macroprudential tool proposed in the new regulatory framework of Basel III by the Basel Committee on Banking Supervision. An empirical analysis of selected Central and Eastern European countries, including the Czech Republic, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel Committee is not necessarily a suitable indicator of excessive credit growth for converging countries.
The last paper describes the stress testing framework used in the Czech central bank and focuses on a general question how to calibrate models used to stress test the most important risks in the banking system. The paper argues that stress tests should be calibrated conservatively and rather to overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, verification, i.e. comparison of the actual values of key financial variables with predictions generated by the stress-testing models should become a standard part of the stress-testing framework.