Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092286" target="_blank" >RIV/61989100:27510/14:86092286 - isvavai.cz</a>

Výsledek na webu

<a href="http://waset.org/Publication/modeling-default-probabilities-of-the-chosen-czech-banks-in-the-time-of-the-financial-crisis/9999899" target="_blank" >http://waset.org/Publication/modeling-default-probabilities-of-the-chosen-czech-banks-in-the-time-of-the-financial-crisis/9999899</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis

Popis výsledku v původním jazyce

One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution?s PD according to the credit-scoring models is discussed. The paper is divided into the two parts. The first part is devoted to the estimation of the three different models (based on the linear discriminant analysis, logit regression and probit regression) from the sample of almost threehundred US commercial banks. Afterwards these models are compared and verified on the control sample with the view to choose the best one. The second part of the paper is aimed at the application of the chosen model on the portfolio of three key Czech banks to estimate their present financial stability. However, it is not less important to be able to estimate the evolution of PD in the future. For this reason, the second task in this paper is to estimate the probability distribution of t

Název v anglickém jazyce

Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis

Popis výsledku anglicky

One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution?s PD according to the credit-scoring models is discussed. The paper is divided into the two parts. The first part is devoted to the estimation of the three different models (based on the linear discriminant analysis, logit regression and probit regression) from the sample of almost threehundred US commercial banks. Afterwards these models are compared and verified on the control sample with the view to choose the best one. The second part of the paper is aimed at the application of the chosen model on the portfolio of three key Czech banks to estimate their present financial stability. However, it is not less important to be able to estimate the evolution of PD in the future. For this reason, the second task in this paper is to estimate the probability distribution of t

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

International Journal of Social, Education, Economics and Management Engineering

ISSN

1307-6892

e-ISSN

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Svazek periodika

8

Číslo periodika v rámci svazku

12

Stát vydavatele periodika

SG - Singapurská republika

Počet stran výsledku

8

Strana od-do

3557 - 3563

Kód UT WoS článku

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EID výsledku v databázi Scopus

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