About: ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	One of the most important tasks within the risk management is coherent determination of probability of default (PD). There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving the set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of PD in the future. Our task in this paper is to estimate the probability distribution of future PD for three Czech banks. The initial PD is calculated on the basis of scoring model, developed recently for US banks by one of the coauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PDs? distribution. We assume that the indicators are distributed according to the multidimensional subordinated Lévy model. We also present joint probability of high PD?s. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? wil One of the most important tasks within the risk management is coherent determination of probability of default (PD). There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving the set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of PD in the future. Our task in this paper is to estimate the probability distribution of future PD for three Czech banks. The initial PD is calculated on the basis of scoring model, developed recently for US banks by one of the coauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PDs? distribution. We assume that the indicators are distributed according to the multidimensional subordinated Lévy model. We also present joint probability of high PD?s. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? wil (en)
Title	ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL (en)
skos:prefLabel	ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL ESTIMATION OF FUTURE PD OF FINANCIAL INSTITUTIONS ON THE BASIS OF SCORING MODEL (en)
skos:notation	RIV/61989100:27510/09:00020614!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/08/1237)
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	313578
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020614
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	credit-scoring models; probability of default; multidimensional subordinated Lévy model (en)
http://linked.open.../riv/klicoveSlovo	probability of default credit-scoring models multidimensional subordinated Lévy model
http://linked.open...ontrolniKodProRIV	[EDC547AF2E49]
http://linked.open...v/mistoKonaniAkce	Ostravice
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Structural and Regional Impacts of Financial Crises. Proceedings of 12th International Conference on Finance and Banking
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2009
http://linked.open...iv/tvurceVysledku	Gurný, Petr Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2009-10-28 (xsd:date)
number of pages	14 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
https://schema.org/isbn	978-80-7248-554-3
http://localhost/t...ganizacniJednotka	27510

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