Comparison of the credit scoring models on PD estimation of US banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225418" target="_blank" >RIV/61989100:27510/10:10225418 - 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

Comparison of the credit scoring models on PD estimation of US banks

Popis výsledku v původním jazyce

The paper is devoted to the estimation of the PD as a crucial parameter in risk management, rating estimation 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 (linear regression, logit and probit). In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks which will be separate into the groups of defaulted and non-defaulted banks on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will discuss the drawbacks and advantages of the particular models and compare reached results.

Název v anglickém jazyce

Comparison of the credit scoring models on PD estimation of US banks

Popis výsledku anglicky

The paper is devoted to the estimation of the PD as a crucial parameter in risk management, rating estimation 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 (linear regression, logit and probit). In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks which will be separate into the groups of defaulted and non-defaulted banks on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will discuss the drawbacks and advantages of the particular models and compare reached results.

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2010

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

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Název nakladatele

University of South Bohemia

Místo vydání

České Budějovice

Místo konání akce

České Budějovice, Czech Republic

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000287979900033