Title:

Zastosowanie modeli opcyjnych w nowoczesnych ratingach wewnętrznych banku

Group publication title:

Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu

Title in english:

Application of the option model for internal rating systems in banks

Creator:

Krysiak, Zbigniew

Description:

Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2006; nr 1133, s. 224-234

Abstrakt:

The above presented paper considers impact of selected micro and macro factors on probability of default (EDF) of the borrower. Estimated values of EDF, using option model, based on dates about companies drawn from Warsaw Stock Exchange were regressed to the selected factors. Dates were pooled out from period of five years from 1998 to 2002. Each separated factor was regressed to EDF. Based on that analysis in two tables were presented the results, which shows the correlation between EDF and specific factor. It seems that this research study proves that option model represents integrated tool for EDF analysis, because it reflects impact of several factors in one value. For father researches multidimensional regression analysis is advised. Based on the presented study, it seems that option model could be valuable tool for internal rating systems used by bank.

Publisher:

Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu

Place of publication:

Wrocław

Date:

2006

Resource Type:

artykuł

Language:

pol

Relation:

Prace Naukowe Akademii Ekonomicznej im. Oskara Langego we Wrocławiu; 2006; nr 1133 ; Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Coverage:

Projekt dofinansowany ze środków budżetu państwa, przyznanych przez Ministra Nauki w ramach Programu Społeczna odpowiedzialność nauki II.