About: Estimation of PD of financial institutions within linear discriminant analysis

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Correct determination of PD of particular financial subjects plays a key role in lot of crucial financial fields such are risk management, determination of rating and particularly for pricing of credit derivatives. Among the most widely used models to forecast a company?s default, is a class of statistical models, credit-scoring models. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Further we introduce index, which is possible to use to measure the success of a model. Linear discriminant analysis is applied and verified on sample of 14 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper. Correct determination of PD of particular financial subjects plays a key role in lot of crucial financial fields such are risk management, determination of rating and particularly for pricing of credit derivatives. Among the most widely used models to forecast a company?s default, is a class of statistical models, credit-scoring models. In this paper a possibility of determination of financial institution?s PD according to the linear discriminant analysis is discussed. The main part of the paper is devoted to the estimation of the score via discriminant function and to the direct determination of the probability of default associated with the individual companies analyzed. Further we introduce index, which is possible to use to measure the success of a model. Linear discriminant analysis is applied and verified on sample of 14 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper. (en)
Title	Estimation of PD of financial institutions within linear discriminant analysis Estimation of PD of financial institutions within linear discriminant analysis (en)
skos:prefLabel	Estimation of PD of financial institutions within linear discriminant analysis Estimation of PD of financial institutions within linear discriminant analysis (en)
skos:notation	RIV/61989100:27510/09:00020667!RIV12-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	2012
http://linked.open...aciTvurceVysledku	Gurný, Petr Gurný, Martin
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	313584
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020667
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Probability of default, linear discriminant analysis, economic indicators of financial institutions, Wilk?s Lambda. (en)
http://linked.open.../riv/klicoveSlovo	linear discriminant analysis Probability of default economic indicators of financial institutions Wilk?s Lambda.
http://linked.open...ontrolniKodProRIV	[09FF49347BF1]
http://linked.open...v/mistoKonaniAkce	Kostelec nad Cernymi lesy, CZECH REPUBLIC
http://linked.open...i/riv/mistoVydani	Praha
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2009
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (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 Gurný, Martin
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000275146900017
http://linked.open.../riv/zahajeniAkce	2009-09-09 (xsd:date)
number of pages	5 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Czech University of Life Science in Prague
https://schema.org/isbn	978-80-213-1963-9
http://localhost/t...ganizacniJednotka	27510

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