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Description
| - There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving a set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of the PD in the fututre. Our task in this paper is to estimate the probability distribution of a future PD for three Czech banks. The initial PD is calculated on the basis of a scoring model, developed recently for OS banks by one of the cooauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PD's distribution. We assume that the indicators are distributed according to a multidimensional subordinated Lévy model. We also present the joint probability of high PD's. Although all banks are relatively healthy, there is still high chance that %22a financial crisis%22 will occure, at least in terms of probability. Moreover, high sensitivity to model selection is documented.
- There have been proposed several distinct approaches to PD estimation, eg. on the basis of market prices (implied PD) or statistical models, involving a set of qualitative and quantitative measures. However, it is no less important to be able to estimate the evolution of the PD in the fututre. Our task in this paper is to estimate the probability distribution of a future PD for three Czech banks. The initial PD is calculated on the basis of a scoring model, developed recently for OS banks by one of the cooauthors by using linear discriminant analysis. Next, we sample randomly the values of particular indicators and estimate the PD's distribution. We assume that the indicators are distributed according to a multidimensional subordinated Lévy model. We also present the joint probability of high PD's. Although all banks are relatively healthy, there is still high chance that %22a financial crisis%22 will occure, at least in terms of probability. Moreover, high sensitivity to model selection is documented. (en)
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Title
| - Estimation of PD implied by a scoring model for Czech banks
- Estimation of PD implied by a scoring model for Czech banks (en)
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skos:prefLabel
| - Estimation of PD implied by a scoring model for Czech banks
- Estimation of PD implied by a scoring model for Czech banks (en)
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skos:notation
| - RIV/61989100:27510/10:10229248!RIV11-GA0-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/10:10229248
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - credit-scoring models, probability of default, multidimensional subordinated Lévy model (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Proceedings of the 12th International Conference on Finance and Banking
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open...ain/vavai/riv/wos
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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