Estimation of PD of financial institutions within linear discriminant analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020667" target="_blank" >RIV/61989100:27510/09:00020667 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Estimation of PD of financial institutions within linear discriminant analysis

Popis výsledku v původním jazyce

Correct determination of PD of particular financial subjects plays a key role in lot of crucial financial fields such are risk management, determination of rating and particularly for pricing of credit derivatives. Among the most widely used models to forecast a company?s default, is a class of statistical models, credit-scoring models. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Further we introduce index, which is possible to use to measure the success of amodel. Linear discriminant analysis is applied and verified on sample of 14 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper.

Název v anglickém jazyce

Estimation of PD of financial institutions within linear discriminant analysis

Popis výsledku anglicky

Correct determination of PD of particular financial subjects plays a key role in lot of crucial financial fields such are risk management, determination of rating and particularly for pricing of credit derivatives. Among the most widely used models to forecast a company?s default, is a class of statistical models, credit-scoring models. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Further we introduce index, which is possible to use to measure the success of amodel. Linear discriminant analysis is applied and verified on sample of 14 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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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

Mathematical Methods in Economics 2009

ISBN

978-80-213-1963-9

ISSN

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e-ISSN

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Počet stran výsledku

5

Strana od-do

91-95

Název nakladatele

Czech University of Life Science in Prague

Místo vydání

Praha

Místo konání akce

Kostelec nad Cernymi lesy, CZECH REPUBLIC

Datum konání akce

9. 9. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000275146900017