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@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, 2015, p.~492-501, 1582 pp. ISBN~978-80-87952-10-8.
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