JEŘÁBEK, Tomáš. Corporate Default Probability Modelling Through Vector Autoregression Approach. In Magnanimitas. Mezinárodní vědecká konference doktorandů a odborných asistentů QUAERE 2015. 5. vyd. Hradec Králové. p. 492-501, 1582 pp. ISBN 978-80-87952-10-8. 2015.
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Basic information
Original name Corporate Default Probability Modelling Through Vector Autoregression Approach
Name in Czech Modelování korporátní pravděpodobnosti defaultu prostřednictvím vektorové autoregrese
Authors JEŘÁBEK, Tomáš.
Edition 5. vyd. Hradec Králové, Mezinárodní vědecká konference doktorandů a odborných asistentů QUAERE 2015, p. 492-501, 1582 pp. 2015.
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form storage medium (CD, DVD, flash disk)
Organization unit University of Finance and Administration
ISBN 978-80-87952-10-8
Keywords in English Default, macroeconomic model, cointegration, credit risk
Tags AR 2014-2015, RIV_ne
Tags Reviewed
Changed by Changed by: Mgr. Tomáš Jeřábek, Ph.D., MBA, učo 29123. Changed: 10/9/2015 14:03.
Abstract
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.
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