About: A revised model to estimate PD of US banks

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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 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. Linear discriminant analysis is applied and verified on sample of 36 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper. This paper revised a model for determination of probability of default of financial institutions introduced in Gurný and Gurný (2009). Příspěvek reviduje odhadnutý model představený oběma autory v roce 2009. 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 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. Linear discriminant analysis is applied and verified on sample of 36 financial institutions. There are also discussed restrictions of introduced model a possibilities of its improvement in the paper. This paper revised a model for determination of probability of default of financial institutions introduced in Gurný and Gurný (2009). Příspěvek reviduje odhadnutý model představený oběma autory v roce 2009. (en)
Title	A revised model to estimate PD of US banks A revised model to estimate PD of US banks (en)
skos:prefLabel	A revised model to estimate PD of US banks A revised model to estimate PD of US banks (en)
skos:notation	RIV/61989100:27510/10:10225420!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...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Gurný, Petr Gurný, Martin
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	244936
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225420
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 Wilk?s Lambda economic indicators of financial institutions
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[24804163D436]
http://linked.open...i/riv/nazevZdroje	Acta academica karviniensia
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...v/svazekPeriodika	2010
http://linked.open...iv/tvurceVysledku	Gurný, Petr Gurný, Martin
issn	1212-415X
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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