| Abstract [eng] |
Research problem. The process of credit risk assessment, the variables defining credit risk, their interrelationships as well as other credit risk related issues have been investigated quite sufficiently in scientific research and applied in practice. However, up to 2020 the assessment of credit risk within the activities of traditional banking and market regulators did not take into consideration the force majeure having emerged at the end of 2019, whereby the threat of the COVID-19 virus restricted entire sectors. Within a very short time, certain industries or their branches have become completely unacceptable for banks in terms of credit risk due to restricted activities of companies at state and regional levels. Research object: changes in credit risk assessment process for corporate borrowers, evaluation of risk assessment criteria and determination of their significance. Research aim: to review the process of credit risk assessment for corporate borrowers and to inspect the problematic aspects of assessment; to highlight the possibilities for its improvement and to discover the most informative indicators at national, industry and company levels during the COVID-19 pandemic crisis. Research objectives: 1. to investigate and to discuss external and internal factors influencing credit risk in banking, including legislative oversight and accounting requirements for the member states of the EU. 2. to structure and to compare qualitative and quantitative methods and credit risk assessment models for evaluating corporate borrowers; to analyze the variables and their interrelationships, as well as advantages and disadvantages of risk assessment models 3. to analyze and systematize the changes in credit risk assessment that have occurred since the COVID-19 pandemic at national, industry and company levels, and to explore new possible indicators and alternative sources of assessment. Research methods: based on the research objectives raised, this Master Thesis employed comparative and descriptive analysis of scientific literature, overview of the EU regulatory legislation on corporate credit assessment, overview of credit risk assessment criteria, assumptions and models of assessment as discussed by various authors. Economic statistics (macroeconomic indicators, performance of individual industries, etc.) were also analyzed; Secondary data analysis and mixed research techniques were applied for the research too. The structure of the thesis. The thesis consists of three parts. The first part discusses the theoretical aspects of credit risk assessment. The second part deals with practical issues of credit risk assessment, including qualitative and quantitative assessment criteria, introduces and discusses credit risk assessment models. The third part presents the analysis of the credit risk assessment situation after COVID-19. Based on publicly available economic statistics, supervisory reviews and analyses, it indicates emerging issues and present suggestions for credit risk assessment. Research results and conclusions. The pandemic of early 2020 has fundamentally changed the assessment of credit risk. Within months or even weeks, banks had to adapt to the new economic situation and discover new models for their operations and risk assessment. Based on economic statistics and a variety of analyses provided by practitioners and researchers, relevant changes in credit risk assessment and management have been identified and systematized at national, industry and company levels. The Thesis explored the changes in credit risk assessment and management processes in banks as well as the new tasks encountered in credit risk assessment. Moreover, the Thesis investigated possible indicators (macroeconomic, confidence indices, the ratio of non-performing loans to the total loan portfolio, etc.), the analysis of which would be beneficial in assessing the situation and considering their inclusion in credit risk assessment models. |
