Prediction of the probability of default for the portfolio of three significant Czech banks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225419" target="_blank" >RIV/61989100:27510/10:10225419 - 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
Prediction of the probability of default for the portfolio of three significant Czech banks
Original language description
Estimation of the future evolution of PD is one of the important tasks within the risk management. This paper is devoted to the determination of the distribution of future PD for three Czech banks. The underlying models for calculation of the initial PDare recently developed on the basis of scoring models for US banks by one of the coauthors. After identification of the significant financial indicators we will sample them randomly via multidimensional subordinated Lévy processes. We will model the dependencies among the indicators by means of the copula function. In the theoretical part of the paper we will briefly introduce the Lévy processes (VG a NIG processes) and the copula function. The main part of the paper will be devoted to the determinationof the future PD of chosen Czech banks. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? will occur, at least in terms of probability.
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)<br>S - Specificky vyzkum na vysokych skolach

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

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