Prepayment Risk in Banking: Empirical Evidence from the Czech Republic

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F22%3A10456338" target="_blank" >RIV/00216208:11230/22:10456338 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1007/978-3-030-99873-8_9" target="_blank" >https://doi.org/10.1007/978-3-030-99873-8_9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-030-99873-8_9" target="_blank" >10.1007/978-3-030-99873-8_9</a>

Result language
angličtina
Original language name
Prepayment Risk in Banking: Empirical Evidence from the Czech Republic
Original language description
This paper deals with prepayment risks in banking and provides empirical evidence from the Czech banking sector. The prepayment risk of a loan can be viewed as an embedded option for a client to refinance his mortgage with a lower interest rate. Conversely, it holds that the clients' profit means a loss to the bank as a mortgage provider. Our analysis quantifies the impact of early repayment of a mortgage on the balance sheets of three different types of banks, which differ in the structure of their financing. In particular, we examine the negative effects of prepaid mortgages on the interest margins of these banks. The results of models have shown that these prepayments risks not only were theoretical, but they were also reflected in the decreasing net interest margin of the Czech banking sector in the 2019-2020 period. (C) 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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