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2 Ekonomický časopis (Journal of Economics)

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ANALÝZA INTEGROVANÉHO TRHOVÉHO A KREDITNÉHO RIZIKA NA PRÍKLADE BANKOVÉHO SEKTORA NA SLOVENSKU

100%

Barnhill T. , Gertler Ľ. , Sivák R.

nr 6

539-554

The research uses a portfolio simulation approach (PSA) to analyze an integrated market and credit risk of the Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by the financial institutions operating in Slovakia due to the correlated market and to the credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in the interest rates, the foreign exchange rates and the sector of GDP in Slovakia, with the distribution of the possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between the market risk and the credit risk measurements in the specific bank portfolio.

ASSESSING EXPLANATORY POWER OF HOUSEHOLD DEBT FOR HOUSE PRICES

100%

Gertler Ľ. , Sivák R. , Kiseľáková D.

2017

tom 65

nr 4

355 – 369

This paper contributes to the evidence that household credit relative to disposable income is a useful factor to inform house prices. This finding is observable both from persistent direct link between the two variables as well as from the relationship of credit with a residual of house price valuation equation. The latter has capacity also in its simplest form to identify overvaluation or undervaluation of property prices and relate them to actual market corrections observable over the post-crisis period in individual countries.