ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020614" target="_blank" >RIV/61989100:27510/09:00020614 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL

Popis výsledku v původním jazyce

One of the most important tasks within the risk management is coherent determination of probability of default (PD). There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving the set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of PD in the future. Our task in this paper is to estimate the probability distribution of future PD for three Czech banks. The initial PD is calculated on the basis of scoring model, developed recently for US banks by one of the coauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PDs? distribution. We assume that the indicators are distributed according to the multidimensional subordinated Lévy model. We also present joint probability of high PD?s. Although all banks are relatively healthy, there is still high chance that ?a finan

Název v anglickém jazyce

ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL

Popis výsledku anglicky

One of the most important tasks within the risk management is coherent determination of probability of default (PD). There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving the set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of PD in the future. Our task in this paper is to estimate the probability distribution of future PD for three Czech banks. The initial PD is calculated on the basis of scoring model, developed recently for US banks by one of the coauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PDs? distribution. We assume that the indicators are distributed according to the multidimensional subordinated Lévy model. We also present joint probability of high PD?s. Although all banks are relatively healthy, there is still high chance that ?a finan

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Aplikace komplexních Lévyho procesů při modelování vývoje cen finančních aktiv</a><br>

Návaznosti

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

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název statě ve sborníku

Structural and Regional Impacts of Financial Crises. Proceedings of 12th International Conference on Finance and Banking

ISBN

978-80-7248-554-3

ISSN

—

e-ISSN

—

Počet stran výsledku

14

Strana od-do

—

Název nakladatele

Slezská univerzita v Opavě, OPF Karviná

Místo vydání

Karviná

Místo konání akce

Ostravice

Datum konání akce

28. 10. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—