WASET
	@article{(Open Science Index):https://publications.waset.org/pdf/9999899,
	  title     = {Modeling Default Probabilities of the Chosen Czech Banks in the Time of the Financial Crisis},
	  author    = {Petr GurnĂ½},
	  country	= {},
	  institution	= {},
	  abstract     = {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 creditscoring
models is discussed. The paper is divided into the two parts.
The first part is devoted to the estimation of the three different
models (based on the linear discriminant analysis, logit regression
and probit regression) from the sample of almost three hundred US
commercial banks. Afterwards these models are compared and
verified on the control sample with the view to choose the best one.
The second part of the paper is aimed at the application of the chosen
model on the portfolio of three key Czech banks to estimate their
present financial stability. However, it is not less important to be able
to estimate the evolution of PD in the future. For this reason, the
second task in this paper is to estimate the probability distribution of
the future PD for the Czech banks. So, there are sampled randomly
the values of particular indicators and estimated the PDs’ distribution,
while it’s assumed that the indicators are distributed according to the
multidimensional subordinated Lévy model (Variance Gamma model
and Normal Inverse Gaussian model, particularly). Although the
obtained results show that all banks are relatively healthy, there is
still high chance that “a financial crisis” will occur, at least in terms
of probability. This is indicated by estimation of the various quantiles
in the estimated distributions. Finally, it should be noted that the
applicability of the estimated model (with respect to the used data) is
limited to the recessionary phase of the financial market.
},
	    journal   = {International Journal of Economics and Management Engineering},
	  volume    = {8},
	  number    = {12},
	  year      = {2014},
	  pages     = {3831 - 3837},
	  ee        = {https://publications.waset.org/pdf/9999899},
	  url   	= {https://publications.waset.org/vol/96},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 96, 2014},
	}