Menu

News

SCORING DEVELOPMENT APPLICATION – R SHINY

This application is a simple yet effective tool for creating scoring models from initial univariate data analysis to basic validation of the resulting model. The range of methods and tools implemented has been deliberately simplified for this demonstration. If desired, additional functionalities and mathematical methods can be added to ensure that the application meets the needs and methodological requirements of users. The application is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework.

BANKS MUST SHARPEN THEIR FOCUS ON CLIMATE RISK, ECB SUPERVISORY STRESS TEST SHOWS

The results of the European Central Bank (ECB) climate risk stress test show that banks do not yet sufficiently incorporate climate risk into their stress-testing frameworks and internal models, despite some progress made since 2020. For more info click here.

CENTRAL BANK MONITORING

The Czech National Bank published its regular quarterly Publication of the Monetary Policy and Fiscal Analysis Department covers important monetary policy events in major foreign central banks. Actual Spotlight focuses on housing markets and their links with monetary policy. In the Selected Speech, member of the Fed’s Board of Governors Ch. Waller reflects on the implication of the conflicting data from the US economy.

 

EBA LAUNCHES DISCUSSION ON 2023 EU-WIDE STRESS TEST METHODOLOGY

The European Banking Authority (EBA) published its 2023 EU-wide stress test draft methodology, templates and template guidance, which will be discussed with the industry. The methodology covers all risk areas and builds on the one prepared for the 2021 EU wide stress test.

ECB PUBLISHES SUPERVISORY BANKING STATISTICS FOR THE FIRST QUARTER OF 2022

Aggregate Common Equity Tier 1 ratio decreased slightly to 14.98% in first quarter of 2022. Aggregated annualised return on equity down to 5.98% in first quarter of 2022. Aggregate non-performing loans ratio fell further to 1.95%, while loans that show a significant increase in credit risk (stage 2 loans) continued to grow, standing at 9.28%. Read the full article here.

DEAN’S AWARD AGAIN FOR OUR UNIQUE COLLEAGUE

Our talented colleague Petra Tomanová won the competition of the Dean of the Faculty of Informatics and Statistics at the University of Economics for the year 2021. Her publication Dynamic Score-Driven Models won in the category of the doctoral thesis. She also won 2nd place for the paper Clustering of arrivals in queueing systems: autoregressive conditional duration approach in the doctoral student theses category. Congratulations on her incredible success!

NEW RESEARCH PAPER MODELING PRICE CLUSTERING IN HIGH-FREQUANCY PRICES

A recently published research paper by Vladimír Holý and our colleague Petra Tomanová analyzes the price clustering phenomenom. For more details download the full paper from our research section.

BASEL COMMITTEE FINALISES PRINCIPLES ON CLIMATE-RELATED FINANCIAL RISKS, PROGRESSES WORK ON SPECIFYING CRYPTOASSETS‘ PRUDENTIAL TREATMENT AND AGREES ON WAY FORWARD FOR THE G-SIB ASSESSMENT METHODOLOGY REVIEW

Basel Committee finalises principles for effective management and supervision of climate-related financial risks. Progresses work on specifying cryptoasset prudential treatment and issuing a second consultation paper. Finalises review of the treatment of cross-border exposures within the European Banking Union on the G-SIB methodology. For more information click here.

REPORT ON FINANCIAL MARKET SUPERVISION IN 2021

The Czech National Bank issued its annual Report on Financial Market Supervision. The report contains an overview of information on the financial sector for 2021 and the most important supervisory and regulatory measures during this period.

ECB PUBLISHES SUPERVISORY BANKING STATISTICS FOR THE FOURTH QUARTER OF 2021

Aggregate Common Equity Tier 1 ratio remained stable at 15.48% in fourth quarter of 2021. Aggregated annualised return on equity decreased to 6.72%. Aggregate non-performing loans ratio fell further to 2.06%, with stock of non-performing loans declining to €374 billion. Share of loans that show a significant increase in credit risk (stage 2 loans) slightly up in fourth quarter at 9.14%, but still below level recorded one year ago (9.27%). Read the full article here.