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PSD 2 Payment Service Directive (in Czech)

The revised Directive on Payment Services (PSD2) is an EU directive entered into force in 2007. Main changes were approved in 2015 and were going into effect in 2018. These changes are focused on regulation of payment services industry in the EU. Their aim is to increase consumer rights and protection and at the same time open the market for new participants from the non-bank sector (such as fintech companies and others). Implementation of this new regulation represents many difficulties like all companies must meet new standards. However it offers many possibilities for introduction new products and services for future growth at the same time. A brief summary of the most important information is given in the attached presentation.

Quantitative Consulting is providing consultations on PSD2 compliance, implementation and related fields.

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Stressing Transition Probability Matrices

This paper describes purposes and principles of stress testing used in credit risk. One particular issue is stressing transition matrices among pools, for instance Probability of Default (PD) pools or Loss Given Default (LGD) pools. A possible approach to handle this problem is based on factor model assumed by the Basel Committee on Banking Supervision (BCBS), which is known as Merton or Vasicek model. In this paper, the model is generalized for transitions to more states than only the Default state, thus the theory can be used on transition matrices.

The theory is applied to the example of hypothetical mortgage loan portfolio, where the practical properties of Matrix stressing are shown.

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Stress testing case study

A review of Basel II and Basel III supervisory regulation in the area of stress testing credit risk. Summary of methods and aspects used in definition of stress scenarios. Two case studies on hypothetical portfolios are presented. A macroeconomic model for Loss (= PD x LGD) predection depending on GDP time series is developed. As for the second step national bank’s (CNB) stressed scenario of GDP evolvement is taken to influence future stressed development of Loss on the portfolio.

The second case study works with a method of stressing transition probability matrix among pools of credit ratings.

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Process Optimization

A general description of analysis and optimization of particular management process, e.g. process of recovery management of defaulted receivables, customer relationship management system, loan underwriting process, etc. We give general review of statistical methods to evaluate individual parts of such process and principals to measure and manage efficiency of it.

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