Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092286" target="_blank" >RIV/61989100:27510/14:86092286 - isvavai.cz</a>

Result on the web

<a href="http://waset.org/Publication/modeling-default-probabilities-of-the-chosen-czech-banks-in-the-time-of-the-financial-crisis/9999899" target="_blank" >http://waset.org/Publication/modeling-default-probabilities-of-the-chosen-czech-banks-in-the-time-of-the-financial-crisis/9999899</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis

Original language description

One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution?s PD according to the credit-scoring models is discussed. The paper is divided into the two parts. The first part is devoted to the estimation of the three different models (based on the linear discriminant analysis, logit regression and probit regression) from the sample of almost threehundred US commercial banks. Afterwards these models are compared and verified on the control sample with the view to choose the best one. The second part of the paper is aimed at the application of the chosen model on the portfolio of three key Czech banks to estimate their present financial stability. However, it is not less important to be able to estimate the evolution of PD in the future. For this reason, the second task in this paper is to estimate the probability distribution of t

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

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2014

Confidentiality

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

Name of the periodical

International Journal of Social, Education, Economics and Management Engineering

ISSN

1307-6892

e-ISSN

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Volume of the periodical

8

Issue of the periodical within the volume

12

Country of publishing house

SG - SINGAPORE

Number of pages

8

Pages from-to

3557 - 3563

UT code for WoS article

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EID of the result in the Scopus database

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