Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092288" target="_blank" >RIV/61989100:27510/14:86092288 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
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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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
ICEF 2014 : XII International Conference on Economics and Finance : London, United Kingdom, December 22-23, 2014
ISBN
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ISSN
1307-6892
e-ISSN
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Number of pages
8
Pages from-to
1236-1243
Publisher name
World Academy of Science, Engineering and Technology
Place of publication
Amsterdam
Event location
Londýn
Event date
Dec 22, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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