Comparison of the credit scoring models on PD estimation of US banks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225418" target="_blank" >RIV/61989100:27510/10:10225418 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Comparison of the credit scoring models on PD estimation of US banks
Original language description
The paper is devoted to the estimation of the PD as a crucial parameter in risk management, rating estimation and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by means of the statistical models, generally known as credit scoring models. First, in theoretical part, we will briefly introduce the two main categories of credit scoring models, which will be afterwards used in application part ? linear discriminant analysis and regression models (linear regression, logit and probit). In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks which will be separate into the groups of defaulted and non-defaulted banks on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will discuss the drawbacks and advantages of the particular models and compare reached results.
Czech name
—
Czech description
—

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)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)