Corporate Default Probability Modelling Through Vector Autoregression Approach

@inproceedings{4819,
   author = {Jeřábek, Tomáš},
   address = {Hradec Králové},
   booktitle = {Mezinárodní vědecká konference doktorandů a odborných asistentů QUAERE 2015},
   edition = {5. vyd.},
   editor = {Magnanimitas},
   keywords = {Default, macroeconomic model, cointegration, credit risk},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Hradec Králové},
   isbn = {978-80-87952-10-8},
   pages = {492-501},
   title = {Corporate Default Probability Modelling Through Vector Autoregression Approach},
   year = {2015}
}

TY  - JOUR
ID  - 4819
AU  - Jeřábek, Tomáš
PY  - 2015
TI  - Corporate Default Probability Modelling Through Vector Autoregression Approach
CY  - Hradec Králové
SN  - 9788087952108
KW  - Default, macroeconomic model, cointegration, credit risk
N2  - Recent global financial crisis motivates financial market regulators to rethink the credit policy management. In fact, it was just a huge credit boom which has started the last financial crisis. Paper investigates the long-run and short-run causal relationship between the corporate default probability and macroeconomic factors in the Czech Republic through the default rate and macroeconomic indicators. This approach requires the construction of a macroeconomic credit model, providing a framework for assessing causal relationships between variables used in order to capture the relationship between the default probability of the corporate sector and macroeconomic variables.
ER  - 

JEŘÁBEK, Tomáš. Corporate Default Probability Modelling Through Vector Autoregression Approach. In Magnanimitas. \textit{Mezinárodní vědecká konference doktorandů a odborných asistentů QUAERE 2015}. 5. vyd. Hradec Králové. s.~492-501, 1582 s. ISBN~978-80-87952-10-8. 2015.