Detailed Information on Publication Record
2015
Corporate Default Probability Modelling Through Vector Autoregression Approach
JEŘÁBEK, TomášBasic information
Original name
Corporate Default Probability Modelling Through Vector Autoregression Approach
Name in Czech
Modelování korporátní pravděpodobnosti defaultu prostřednictvím vektorové autoregrese
Authors
Edition
5. vyd. Hradec Králové, Mezinárodní vědecká konference doktorandů a odborných asistentů QUAERE 2015, p. 492-501, 1582 pp. 2015
Other information
Language
English
Type of outcome
Stať ve sborníku
Field of Study
50200 5.2 Economics and Business
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
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
Tags
Reviewed
Změněno: 10/9/2015 14:03, Mgr. Tomáš Jeřábek, Ph.D., MBA
Abstract
V originále
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.