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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Ekonomické Rozhľady

ISSN

0323-262X

e-ISSN

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Svazek periodika

40

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

SK - Slovenská republika

Počet stran výsledku

6

Strana od-do

309-314

Kód UT WoS článku

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EID výsledku v databázi Scopus

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