Estimation of PD implied by a scoring model for Czech banks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10229248" target="_blank" >RIV/61989100:27510/10:10229248 - 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 implied by a scoring model for Czech banks
Original language description
There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving a set of qualitative and quantitative measures. However, it is no less important to be able to estimatethe evolution of the PD in the fututre. Our task in this paper is to estimate the probability distribution of a future PD for three Czech banks. The initial PD is calculated on the basis of a scoring model, developed recently for OS banks by one of thecooauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PD's distribution. We assume that the indicators are distributed according to a multidimensional subordinated Lévy model. We also present the joint probability of high PD's. Although all banks are relatively healthy, there is still high chance that "a financial crisis" will occure, at least in terms of probability. Moreover, high sensitivity to model selection i
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

Article name in the collection
Proceedings of the 12th International Conference on Finance and Banking
ISBN
978-80-7248-592-5
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
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Publisher name
Silesian University, School of Bussines Administration
Place of publication
Karviná
Event location
Sepetná, Ostravice
Event date
Oct 28, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000286075300007

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