About: Prediction of the probability of default for the portfolio of three significant Czech banks

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Estimation of the future evolution of PD is one of the important tasks within the risk management. This paper is devoted to the determination of the distribution of future PD for three Czech banks. The underlying models for calculation of the initial PD are recently developed on the basis of scoring models for US banks by one of the coauthors. After identification of the significant financial indicators we will sample them randomly via multidimensional subordinated Lévy processes. We will model the dependencies among the indicators by means of the copula function. In the theoretical part of the paper we will briefly introduce the Lévy processes (VG a NIG processes) and the copula function. The main part of the paper will be devoted to the determination of the future PD of chosen Czech banks. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? will occur, at least in terms of probability. Estimation of the future evolution of PD is one of the important tasks within the risk management. This paper is devoted to the determination of the distribution of future PD for three Czech banks. The underlying models for calculation of the initial PD are recently developed on the basis of scoring models for US banks by one of the coauthors. After identification of the significant financial indicators we will sample them randomly via multidimensional subordinated Lévy processes. We will model the dependencies among the indicators by means of the copula function. In the theoretical part of the paper we will briefly introduce the Lévy processes (VG a NIG processes) and the copula function. The main part of the paper will be devoted to the determination of the future PD of chosen Czech banks. Although all banks are relatively healthy, there is still high chance that ?a financial crisis? will occur, at least in terms of probability. (en)
Title	Prediction of the probability of default for the portfolio of three significant Czech banks Prediction of the probability of default for the portfolio of three significant Czech banks (en)
skos:prefLabel	Prediction of the probability of default for the portfolio of three significant Czech banks Prediction of the probability of default for the portfolio of three significant Czech banks (en)
skos:notation	RIV/61989100:27510/10:10225419!RIV12-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	2012
http://linked.open...aciTvurceVysledku	Gurný, Petr Pardubická, Eva Lasáková, Kateřina
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	281075
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225419
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	probability of default, subordinated Lévy model, VG process, NIG process, copula function (en)
http://linked.open.../riv/klicoveSlovo	subordinated Lévy model VG process copula function probability of default NIG process
http://linked.open...ontrolniKodProRIV	[81FDC096280E]
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	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (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 Lasáková, Kateřina Pardubická, Eva
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000287979900085
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (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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