Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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New methods to analyse financial stability of the banking sector

2012/07/B/HS4/00361

Keywords:

non-performing loans probability of default econometric models

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Dobromił Serwa 

Number of co-investigators in the project: 3

Call: OPUS 4 - announced on 2012-09-15

Amount awarded: 198 000 PLN

Project start date (Y-m-d): 2013-07-10

Project end date (Y-m-d): 2016-01-09

Project duration:: 30 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Monitor DELL UltraSharp U2412H.
  2. Wydajna stacja robocza (komputer) do przeprowadzania obliczeń (15 000 PLN)
  3. laserowa drukarka Kyocera FS-C5250DN.
  4. środowisko programistyczne (program) MATLAB i dodatkowe biblioteki (15 000 PLN)
  5. czytnik ebooków Onyx Boox M96 Universe z etui.
  6. Eviews - program ekonometryczny (2 szt.) (6 000 PLN)

Information in the final report

  • Publication in academic press/journals (4)
  1. Credit Risk of FX Loans in Poland. Debt service burden and the effect of neutralization of currency depreciation by foreign interest rates
    Authors:
    Zuzanna Wośko
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2016, tom: 8, strony: 43 - 59), Wydawca: Polska Akademia Nauk
    Status:
    Published
    DOI:
    brak - link to the publication
  2. Measuring Non-Performing Loans During (and After) Credit Booms
    Authors:
    Dobromił Serwa
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2013, tom: 5, strony: 163 - 183), Wydawca: Polska Akademia Nauk - Oddział Łódzki
    Status:
    Published
    DOI:
    brak - link to the publication
  3. Measuring expected time to default under stress conditions for corporate loans
    Authors:
    Mariusz Górajski, Dobromił Serwa, Zuzanna Wośko
    Academic press:
    Empirical Economics (rok: 2018, tom: -, strony: -), Wydawca: Springer
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  4. Using non-performing loan rates to compute loan default rates: Evidence from European banking sectors
    Authors:
    Dobromił Serwa
    Academic press:
    Econometric Research in Finance (rok: 2016, tom: 1, strony: 47-65), Wydawca: Szkoła Główna Handlowa, Kolegium Analiz Ekonomicznych
    Status:
    Published
    DOI:
    brak - link to the publication

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