Probability of default modelling using macroeconomic factors
|Author:||Mgr. Monika Zsigraiová|
|Year:||2014 - summer|
|Leaders:|| PhDr. Jakub Seidler Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The thesis evaluates relationship between probability of default of non-financial corporations
and households and evolution of macroeconomic environment. This work contributes to the
literature of credit risk proving importance of macroeconomic variables in determining the PDs
both on aggregate level and for sector of non-financial corporations and sector of households in
the Czech Republic. Evaluation of an impact of the recent financial crisis on the PDs are done
by employing latent factor model and FAVAR model on monthly data of non-performing loans
and other macroeconomic variables covering the period 01/2002–06/2013. Finally, an ability
to forecast and fit the data of FAVAR model and one factor latent model are compared. The
comparison indicates that latent factor model should be more appropriate than FAVAR model.