Kreditní riziko měnových operací centrální banky

This master's thesis analyses the sources, nature, and quantitative magnitude of credit risk arising from the monetary operations of central banks during the 2007–2015 period. The case studies cover the Federal Reserve System, the European Central Bank, and the Swiss National Bank, three institutions whose responses to the global financial crisis differed qualitatively in the type of risk exposure assumed. The thesis combines a theoretical framework with an empirical application based on market-implied probabilities of default derived from CDS spreads, formal structural break tests, and stress testing. The empirical evidence supports hypothesis H1 (discrete jumps in PD in response to crisis events): the Bai-Perron procedure identifies 83 structural breaks across 19 CDS issuers, clustered around the Lehman episode (Q3–Q4 2008), the eurozone escalation (29 July 2011) and the OMT announcement (Q3 2012). The empirical evidence supports hypothesis H2 (order-of-magnitude rise in Eurosystem Expected Shortfall): findings show a 16.7-fold increase in the ES_95 of a 12-issuer eurozone portfolio between the pre-crisis baseline (2007 – H1 2008) and the LTRO peak (Q4 2011 – Q2 2012); the counterfactual decomposition attributes 37.3 % to the credit effect, 9.2 % to the volume effect and 53.5 % to the interaction. The empirical evidence supports hypothesis H3 (spread volatility dwarfing expected loss): the median ratio is σ/EL_1Y = 54.9× across 19 issuers (range 11×–409×, all 19 issuers above 10×).