Modeling default probability and individual loan price construction for small and medium companies.
|Author:||Mgr. Kateřína Semianová|
|Year:||2008 - summer|
|Leaders:|| Mgr. Magda Pečená Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis is focused on modeling credit risk linked with granting small business credits. Research on corporate credit risk modeling for privately held companies is rather limited due to lack of publicly available data. Main topic of this study is individual loan pricing related to the risk profile of those subjects. First part is concentrated on theoretical background of individual rate construction. This rate is based on risk premium and a capital requirement related with client's individual risk profile and namely with his probability of default. The remainder is devoted to the extensive empirical study supported with representative dataset of US small business companies. Middle part introduces several alternative PD scoring methodologies. Final partition is dedicated to individual interest rate construction and simulation of interest income. The main objective is to demonstrate doubtless advantages of individual rate construction against charging regular rates.|
|Downloadable:|| Diploma Thesis of Semianová