Exponential integrability of stochastic convolutions

Sucient conditions are found for stochastic convolution integrals driven by a Wiener process in a Hilbert space to belong to the Orlicz space expL2; standard exponential tail estimates follow from these results. Proofs are based on the extrapolation theory and are rather simple.</p

The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic

This paper focuses on 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%.Credit risk, loss given default, structural models.

Yield Curve Dynamics: Regional Common Factor Model

In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies’ yield curves: CZK, HUF, PLN and SKK. We propose a model to capture regional dynamics purely based on state space formulation. The contribution of this paper is twofold: we examine regional yield curve dynamics and we quantify regional interdependencies amongst considered currencies’ yield curves. We conclude that the CZK yield curve possesses its own dynamics corresponding to country specific features, whereas other currencies’ yield curves are strongly influenced by the regional level, the regional slope factor or both.Dynamic Factor Model, Kalman Filter, Nelson-Siegel, State Space, Regional Yield Curve, Principal Component Analysis

Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern European Countries

Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the “countercyclical capital bufferâ€, 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.Basel regulation, credit growth, financial crisis countercyclical buffer.

Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach

This paper focuses on the key credit risk parameter – Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors and macroeconomic conditions. Furthermore, we illustrate how the LGD can be extracted from market observable information with help of the adjusted Mertonian structural approach. We present a derivation of the formula for the expected LGD and show its sensitivity with respect to other structural company parameters. Finally, we estimate the 5-year expected LGDs for companies listed on the Prague Stock Exchange and find that the average LGD for this analyzed sample is in the range of 20–45 %. To the authors’ knowledge, these are the first implied market estimates of LGD in the Czech Republic.loss given default, credit risk, structural models

Conservative Stress Testing: The Role of Regular Verification

This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank’s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables – in particular the capital adequacy ratio – with predictions generated by the stress-testing models should become a standard part of the stress-testing framework.stress testing; credit risk; bank capital

Transcriptional Profiles for Glutamate Transporters Reveal Differences Between Organophosphates but Similarities with Unrelated Neurotoxicants

The developmental neurotoxicity of organophosphates involves mechanisms other than their shared property as cholinesterase inhibitors, among which are excitotoxicity and oxidative stress. We used PC12 cells as a neurodevelopmental model to compare the effects of chlorpyrifos and diazinon on the expression of genes encoding glutamate transporters. Chlorpyrifos had a greater effect in cells undergoing nerve growth factor-induced neurodifferentiation as compared to undifferentiated PC12 cells, with peak sensitivity at the initiation of differentiation, reflecting a global upregulation of all the glutamate transporter genes expressed in this cell line. In differentiating cells, chlorpyrifos had a significantly greater effect than did diazinon and concordance analysis indicated no resemblance in their expression patterns. At the same time, the smaller effects of diazinon were highly concordant with those of an organochlorine pesticide (dieldrin) and a metal (divalent nickel). We also performed similar evaluations for the cystine/glutamate exchanger, which provides protection against oxidative stress by moving cystine into the cell; again, chlorpyrifos had the greatest effect, in this case reducing expression in undifferentiated and differentiating cells. Our results point to excitotoxicity and oxidative stress as major contributors to the noncholinesterase mechanisms that distinguish the neurodevelopmental outcomes between different organophosphates while providing a means whereby apparently unrelated neurotoxicants may produce similar outcomes

Credit growth and financial stability in the Czech Republic

The Czech Republic had experienced a credit boom similar to those in other converging economies in the pre-crisis years. Nevertheless, the consequences of this credit boom were limited as was the impact of the global crisis on domestic financial institutions. This paper describes the developments in the Czech banking sector and explains how the tough macroeconomic environment in the Czech Republic acted as a strong tool of macroprudential policy. It concludes that although it is difficult to tame credit booms in small converging economies, a concerted set of microprudential and macroprudential measures, including monetary and fiscal ones, may ensure some success.Banks&Banking Reform,Debt Markets,Currencies and Exchange Rates,Access to Finance,Emerging Markets