Abstract:

Probability of default is a key parameter for estimating the credit losses. In the last decade, growing importance of this parameter, it serves as an important input factor for determining capital requirements for banks that use internal models to estimate the rating - IRB approach. Important significance has especially aggregate probability of default, which besides being a parameter of the credit risk, they are also the most important factor stress tests in the Czech Republic. This paper analyses the impact of macroeconomic variables in the modelling of corporate default, in terms of both short-run and long-run causal relationship.