Comparison of Credit Scoring Models on Probability of Default Estimation for US Banks

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86082949" target="_blank" >RIV/61989100:27510/13:86082949 - 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

Comparison of Credit Scoring Models on Probability of Default Estimation for US Banks

Original language description

This paper is devoted to the estimation of the probability of default (PD) as a crucial parameter in risk management, requests for loans, rating estimation, pricing of credit derivatives 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 (logit and probit), including testing the statistical significance of estimated parameters. In the main part of the paper we will work with the sample of almost three hundred U.S. commercial banks which will be separate into two groups (non-default and default) on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimati

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</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

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Volume of the periodical

22

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

19

Pages from-to

163-181

UT code for WoS article

000321990300002

EID of the result in the Scopus database

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