Modelování pravděpodobnosti selhání středoevropských bank

Abstract

The main aim of this diploma thesis is to evaluate the probability of default of chosen banks and to estimate this probability for next period. The thesis is divided into five parts, whereas the second and the third one are theoretical. Financial norm predictor models and credit scoring models are described in this part. There is the description of financial analysis of a bank and for better complexity there is also the pyramidal decomposition of mentioned models. In the end of this chapter there is a description of Monte Carlo Simulation. The fourth part is focused on practical implementation of calculations and analysis. There is an account of particular banks followed by financial analysis and the evaluation of the probability of default based on GaG1, GaG2 and GaG3 models, which are analyzed by the pyramidal decompositions. The probability of default modeling with interpretation of all calculations is realized in the end of this chapter.