Innovative Approaches to Credit Risk Management

The overall aim of this project is to contribute to both theoretical and empirical research on credit risk management. A new era of digitalization and globalization of the world financial industry has highlighted the importance of credit risk management. The value added of this project is therefore original research in credit risk management that needs to be revised in the recent dynamic environment (product pricing, macroprudential regulation and micro credit risk assessment of borrowers). Moreover, we will propose innovative credit risk management models and methods based on the most recent advances in quantitative modelling and artificial intelligence research. For better transparency, the project is divided into two overlapping parts, which more closely specify their aims: i) credit derivatives and credit valuation adjustment and ii) credit risk models. The results of this research will contribute to establishment of a consistent set of economic methods that can be used for evaluation of existing risk management practices.

Project team of FSV UK (1)

prof. PhDr. Petr Teplý, Ph.D.

Principal investigator

+420 222 112 323

petr.teply@fsv.cuni.cz  |  teply@fsv.cuni.cz