Credit Risk Resulting from Bank Guarantees - Development of Risk Adjusted Pricing

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F11%3A00054596" target="_blank" >RIV/00216224:14560/11:00054596 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Credit Risk Resulting from Bank Guarantees - Development of Risk Adjusted Pricing
Original language description
This paper focuses on the credit risk of bank guarantees from the perspective of banks. Bank guarantees represent a specific type of credit instruments. Issuance of a bank guarantee means a potential asset for a bank. So, the bank guarantees are treatedas an off-balance sheet transaction. After the agreed event occurs, the potential receivable becomes a real receivable ? a balance sheet asset. As the bank guarantee is a credit instrument, it is joined with a credit risk. The bank faces the risk that the customer will not meet his obligations (default). This fact can lead to negative impact to banking business and so it is important to pay sufficient attention to this risk and implement an effective risk management. The level of the credit risk is determined by the quality of the customer?s business or the bonity of the customer. The goal of the paper is to calculate the credit risk of bank guarantees given by the banks. The calculation is based on the classical spread analysis (as don
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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