Modelování pravděpodobnosti selhání banky s využitím skoringových modelů

Abstract

The aim of this work is evaluating and analyzing the failure probability of these five banks: Czechoslovak Commercial Bank, ING Bank, Raiffeisen Bank, GE Money Bank and Mortgage Bank. For the evaluation will be used scoring models - namely Gurn and Gurn 3 models (hereinafter GaG3), its older versions and updated. The financial situation between the years 2003-2011 will be examined. For a better assessment of the situation will also be used decomposition of these models. The thesis contains theoretical and application part. It is divided into five chapters. The first part is an introduction, the second part is focused on the theoretical description of the financial analysis of indicators that will be used for the models and their decomposition. A large part is devoted to descriptions of individual models, which are divided into regression models, linear discriminant analysis models and inductive models. The third part is devoted to the models which determinate financial level development where GaG models are ranked and these models will be used in the application part. The chapter contains theoretical knowledge and equation models, under which you can determine the probability of default and also treats their decompositions, or decomposition of the sub-score indicators. Consequently we can determine how partial indicator operates on the development of-score. The fourth chapter is the application part, where you can see the calculations and the probability of failure. It contains a description of the above mentioned five banks and financial analysis, and they are also included breakdowns. Last fifth chapter will conclude and summarize all the research that the likelihood of failure is concerned.