Abstract
In this paper a possibility of determination of financial institution's PD according to credit scoring models is discussed. First we will briefly introduce the two categories of credit scoring models logit model and probit model. In the main part of the paper we will work with the sample of almost three hundreds of commercial US banks and we will stepwise apply the above mentioned models on this sample to derive two models for estimation of PD. The goal of the paper is estimation of the PD of chosen US banks by means of the logit and probit model, discussion of the drawbacks and advantages of these models and comparison of the reached results.
| Original language | English |
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| Title of host publication | Proceedings of 47th EWGFM meeting |
| Editors | T. Tichy, M. Kopa |
| Place of Publication | Ostrava, CZ |
| Publisher | VSB-TECH UNIV OSTRAVA |
| Pages | 73-80 |
| Number of pages | 8 |
| Publication status | Published - 2010 |
| Externally published | Yes |
| Event | 47th Meeting of the EURO-Working-Group-on-Financial-Modelling (EWGFM) - Prague, Czech Republic Duration: 28 Oct 2010 → 30 Oct 2010 |
Conference
| Conference | 47th Meeting of the EURO-Working-Group-on-Financial-Modelling (EWGFM) |
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| Country/Territory | Czech Republic |
| City | Prague |
| Period | 28/10/10 → 30/10/10 |
Keywords
- Probability of default
- logit model
- probit model