About: Comparison of the credit scoring models on PD estimation of US banks

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The paper is devoted to the estimation of the PD as a crucial parameter in risk management, rating estimation and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by means of the statistical models, generally known as credit scoring models. First, in theoretical part, we will briefly introduce the two main categories of credit scoring models, which will be afterwards used in application part ? linear discriminant analysis and regression models (linear regression, logit and probit). In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks which will be separate into the groups of defaulted and non-defaulted banks on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will discuss the drawbacks and advantages of the particular models and compare reached results. The paper is devoted to the estimation of the PD as a crucial parameter in risk management, rating estimation and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by means of the statistical models, generally known as credit scoring models. First, in theoretical part, we will briefly introduce the two main categories of credit scoring models, which will be afterwards used in application part ? linear discriminant analysis and regression models (linear regression, logit and probit). In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks which will be separate into the groups of defaulted and non-defaulted banks on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will discuss the drawbacks and advantages of the particular models and compare reached results. (en)
Title	Comparison of the credit scoring models on PD estimation of US banks Comparison of the credit scoring models on PD estimation of US banks (en)
skos:prefLabel	Comparison of the credit scoring models on PD estimation of US banks Comparison of the credit scoring models on PD estimation of US banks (en)
skos:notation	RIV/61989100:27510/10:10225418!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/08/1237), S
http://linked.open...vai/riv/dodaniDat	2011
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	251535
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225418
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	probability of default, credit scoring models, linear discriminant analysis, regression, logit, economic indicators of financial institutions (en)
http://linked.open.../riv/klicoveSlovo	linear discriminant analysis logit regression probability of default credit scoring models economic indicators of financial institutions
http://linked.open...ontrolniKodProRIV	[9AE02FA1166F]
http://linked.open...v/mistoKonaniAkce	České Budějovice, Czech Republic
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
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	2010
http://linked.open...iv/tvurceVysledku	Gurný, Petr Gurný, Martin
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000287979900033
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	7 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510

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