ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020614" target="_blank" >RIV/61989100:27510/09:00020614 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL
Original language description
One of the most important tasks within the risk management is coherent determination of probability of default (PD). There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving the set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of PD in the future. Our task in this paper is to estimate the probability distribution of future PD for three Czech banks. The initial PD is calculated on the basis of scoring model, developed recently for US banks by one of the coauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PDs? distribution. We assume that the indicators are distributed according to the multidimensional subordinated Lévy model. We also present joint probability of high PD?s. Although all banks are relatively healthy, there is still high chance that ?a finan
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Structural and Regional Impacts of Financial Crises. Proceedings of 12th International Conference on Finance and Banking
ISBN
978-80-7248-554-3
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
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Publisher name
Slezská univerzita v Opavě, OPF Karviná
Place of publication
Karviná
Event location
Ostravice
Event date
Oct 28, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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