Predikce pravděpodobnosti defaultu vybraných českých bank

Abstract

The aim of this thesis is to predict the probability of default of selected Czech banks. The first chapter focuses on the methodology of financial indicators in the banking, bank definition and evaluation of the performance and competitiveness of banks. The second chapter is a description of models for estimation of credit risk, ie the discriminant analysis, regression and inductive models. Emphasis is placed on GaG models because GaG3 model is used in the application part. There's also a description of the credit risk and the credit process in this chapter. The third part represents the application part of the thesis. The first part of this chapter is focused on the calculation of the probability of default of banks within the reporting period. The second part of the third chapter is devoted to estimate the probability distribution of the probability of default of selected banks for the predicted year through simulation Monte Carlo.