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  • The paper is devoted to the investigation of the Czech banks health, which we can regard as one of the most important tasks in the time of the financial crisis. The main goal of the paper is an estimation of the future probability of default (PD) for three key Czech banks. At first the model (built on the basis of the Z-metrics methodology) for prediction of bank failure will be presented. Afterwards the relevant financial indicators needed for estimation of the future PD will be simulated via Lévy processes and their dependencies will be captured via gaussian copula function.
  • The paper is devoted to the investigation of the Czech banks health, which we can regard as one of the most important tasks in the time of the financial crisis. The main goal of the paper is an estimation of the future probability of default (PD) for three key Czech banks. At first the model (built on the basis of the Z-metrics methodology) for prediction of bank failure will be presented. Afterwards the relevant financial indicators needed for estimation of the future PD will be simulated via Lévy processes and their dependencies will be captured via gaussian copula function. (en)
Title
  • The stability investigation of the three large Czech banks within Z - metrics methodology
  • The stability investigation of the three large Czech banks within Z - metrics methodology (en)
skos:prefLabel
  • The stability investigation of the three large Czech banks within Z - metrics methodology
  • The stability investigation of the three large Czech banks within Z - metrics methodology (en)
skos:notation
  • RIV/61989100:27510/11:86079471!RIV13-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 231846
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/11:86079471
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Gaussian copula function; VG process; Z-metrics, logit model (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [334A9BBDFAC3]
http://linked.open...v/mistoKonaniAkce
  • Janska Dolina
http://linked.open...i/riv/mistoVydani
  • Praha
http://linked.open...i/riv/nazevZdroje
  • 29th International Conference on Mathematical Methods in Economics 2011 - part I
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Gurný, Petr
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000309074600034
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Professional Publishing
https://schema.org/isbn
  • 978-80-7431-058-4
http://localhost/t...ganizacniJednotka
  • 27510
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