IFRS 9 AND ITS BEHAVIOUR IN THE CYCLE
The new research paper of Oľga Pastiranová and Jiří Witzany investigates the procyclical behavior of IAS 39 and IFRS 9 provisioning rules during the economic cycle.
IFRS FOUNDATION TRUSTEES ANNOUNCE STRATEGIC DIRECTION AND FURTHER STEPS BASED ON FEEDBACK TO SUSTAINABILITY REPORTING CONSULTATION
The Trustees of the IFRS Foundation met 2-4 March 2021 to continue their analysis and discussions of the feedback received to their Consultation Paper on Sustainability Reporting (2020 Consultation).
INTERVIEW WITH ANDREA ENRIA, CHAIR OF THE SUPERVISORY BOARD OF THE ECB: CREDIT RISK NEEDS TO BE WATCHED CLOSELY
Banks are in a position to absorb losses and continue supporting the real economy through these difficult times, says Supervisory Board Chair Andrea Enria in the interview. But they must pay attention to credit risk as defaults are likely to increase once support measures are lifted.
EBA LAUNCHES 2021 EU-WIDE STRESS TEST EXERCISE
The European Banking Authority (EBA) launched the 2021 EU-wide stress test and released the macroeconomic scenarios. Following the postponement of the 2020 exercise, due to the COVID-19 pandemic, this year’s EU-wide stress test will provide valuable input for assessing the resilience of the European banking sector. Accordingly, the adverse scenario is based on a narrative of a prolonged COVID-19 scenario in a ‘lower for longer’ interest rate environment, in which negative confidence shocks would prolong the economic contraction. The EBA expects to publish the results of the exercise by 31 July 2021.
BIG DATA: DEFINITION, BENEFITS, CHALLENGES
Learn more about what big data is and what the benefits and challenges are for people, businesses and the environment.
DEAN’S AWARD FOR OUR COLLEAGUE
Our colleague Petra Tomanová has won Dean’s Award for the best publication in the category of Doctoral Student Paper. Winning publication Measuring users‘ color preferences in CRUD operations across the globe: a new Software Ergonomics Testing Platform (P. Tomanová, J. Hradil & V. Sklenák) presented ongoing results from the Software Ergonomics Research and one of its domains, Colors. The research has been founded at the Department of Information and Knowledge Engineering at the University of Economics, Prague, and supported by the Grant IGA 33/2018 .
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DEFAULT GUIDELINES ISSUED BY EBA IN FORCE SINCE 2021
The guidelines EBA/GL/2016/07 provides the harmonized definition of default for banks and financial institutions. The guidelines cover the past due criterion, indications of unlikeliness to pay, external data applications, criteria for the return to a non-defaulted status and other areas. These regulatory requirements will be in force since January 1, 2021.
THE WINNER OF THE COMPETITION AT THE CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS IS OUR COLLEAGUE
Our colleague Petra Tomanová won 1st place for the best paper authored by PhD student in the competition at the International Conference on Mathematical Methods in Economics in 2020. The winning paper Robustness of Dynamic Score-Driven Models Utilizing the Generalized Gamma Distribution was supplemented by a practical example of a real project – simulation and optimization of business processes of an online shop.
STATISTICS AND MACHINE LEARNING ONLINE WORKSHOP FOR STUDENTS
We have organised a weekly online workshop during the pandemic. This project was intended for high school students to whom we offered help via these lectures. They have successfully mastered the basics of statistics, data analysis and machine learning in R over the course of 8 weeks. It was our pleasure to cooperate with them.
NEW WORKING PAPER ON MIGRATION MATRIX STRESS TESTING
A recently published working paper by Jiří Witzany describes and analyzes impacts of different rating migration matrix stress testing approaches to ICAAP and IFRS 9 calculations. For more details download the full paper from our research section.
WE SUPPORT CONNECTION WITH UNIVERSITIES BY LECTURING
Credit Risk, Financial Derivatives, Quantitative Investments – University of Economics
Sampling Theory, Data Exploration, Derivatives – Faculty of Mathematics and Physics, Charles University