Estimation of PD of financial institutions within linear discriminant analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020667" target="_blank" >RIV/61989100:27510/09:00020667 - 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 PD of financial institutions within linear discriminant analysis
Original language description
Correct determination of PD of particular financial subjects plays a key role in lot of crucial financial fields such are risk management, determination of rating and particularly for pricing of credit derivatives. Among the most widely used models to forecast a company?s default, is a class of statistical models, credit-scoring models. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Further we introduce index, which is possible to use to measure the success of amodel. Linear discriminant analysis is applied and verified on sample of 14 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper.
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

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