The stability investigation of the three large Czech banks within Z - metrics methodology

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079471" target="_blank" >RIV/61989100:27510/11:86079471 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
The stability investigation of the three large Czech banks within Z - metrics methodology
Original language description
The paper is devoted to the investigation of the Czech banks health, which we can regard as one of the most important tasks in the time of the financial crisis. The main goal of the paper is an estimation of the future probability of default (PD) for three key Czech banks. At first the model (built on the basis of the Z-metrics methodology) for prediction of bank failure will be presented. Afterwards the relevant financial indicators needed for estimation of the future PD will be simulated via Lévy processes and their dependencies will be captured via gaussian copula function.
Czech name
—
Czech description
—

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
29th International Conference on Mathematical Methods in Economics 2011 - part I
ISBN
978-80-7431-058-4
ISSN
—
e-ISSN
—
Number of pages
8
Pages from-to
205-212
Publisher name
Professional Publishing
Place of publication
Praha
Event location
Janska Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600034

Similar results(10)