Estimation of PD implied by a scoring model for Czech banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10229248" target="_blank" >RIV/61989100:27510/10:10229248 - 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 implied by a scoring model for Czech banks

Popis výsledku v původním jazyce

There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving a set of qualitative and quantitative measures. However, it is no less important to be able to estimatethe evolution of the PD in the fututre. Our task in this paper is to estimate the probability distribution of a future PD for three Czech banks. The initial PD is calculated on the basis of a scoring model, developed recently for OS banks by one of thecooauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PD's distribution. We assume that the indicators are distributed according to a multidimensional subordinated Lévy model. We also present the joint probability of high PD's. Although all banks are relatively healthy, there is still high chance that "a financial crisis" will occure, at least in terms of probability. Moreover, high sensitivity to model selection i

Název v anglickém jazyce

Estimation of PD implied by a scoring model for Czech banks

Popis výsledku anglicky

There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving a set of qualitative and quantitative measures. However, it is no less important to be able to estimatethe evolution of the PD in the fututre. Our task in this paper is to estimate the probability distribution of a future PD for three Czech banks. The initial PD is calculated on the basis of a scoring model, developed recently for OS banks by one of thecooauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PD's distribution. We assume that the indicators are distributed according to a multidimensional subordinated Lévy model. We also present the joint probability of high PD's. Although all banks are relatively healthy, there is still high chance that "a financial crisis" will occure, at least in terms of probability. Moreover, high sensitivity to model selection i

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

Proceedings of the 12th International Conference on Finance and Banking

ISBN

978-80-7248-592-5

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

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Název nakladatele

Silesian University, School of Bussines Administration

Místo vydání

Karviná

Místo konání akce

Sepetná, Ostravice

Datum konání akce

28. 10. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000286075300007