Prediction of the probability of default for the portfolio of three significant Czech banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225419" target="_blank" >RIV/61989100:27510/10:10225419 - 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

Prediction of the probability of default for the portfolio of three significant Czech banks

Popis výsledku v původním jazyce

Estimation of the future evolution of PD is one of the important tasks within the risk management. This paper is devoted to the determination of the distribution of future PD for three Czech banks. The underlying models for calculation of the initial PDare recently developed on the basis of scoring models for US banks by one of the coauthors. After identification of the significant financial indicators we will sample them randomly via multidimensional subordinated Lévy processes. We will model the dependencies among the indicators by means of the copula function. In the theoretical part of the paper we will briefly introduce the Lévy processes (VG a NIG processes) and the copula function. The main part of the paper will be devoted to the determinationof the future PD of chosen Czech banks. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? will occur, at least in terms of probability.

Název v anglickém jazyce

Prediction of the probability of default for the portfolio of three significant Czech banks

Popis výsledku anglicky

Estimation of the future evolution of PD is one of the important tasks within the risk management. This paper is devoted to the determination of the distribution of future PD for three Czech banks. The underlying models for calculation of the initial PDare recently developed on the basis of scoring models for US banks by one of the coauthors. After identification of the significant financial indicators we will sample them randomly via multidimensional subordinated Lévy processes. We will model the dependencies among the indicators by means of the copula function. In the theoretical part of the paper we will briefly introduce the Lévy processes (VG a NIG processes) and the copula function. The main part of the paper will be devoted to the determinationof the future PD of chosen Czech banks. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? will occur, at least in terms of probability.

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

6

Strana od-do

499-504

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

000287979900085