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APPLICATION OF L-MOMENTS IN HOMOGENEITY EXAMINATION FOR GROUPS OF PRODUCTION COMPANIES DISTINGUISHED BY DEA

100%
Karwański M., Grzybowska U.
Metody Ilościowe w Badaniach Ekonomicznych
|
2017
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vol. 18
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issue 3
463-471
EN
In financial analysis rating systems can be applied to divide firms into homogeneous groups. One of these methods is provided by DEA. The method is based on the efficiency optimization for firms described by the set of financial indicators. An important issue is not only estimation of efficiency but also homogeneity of given groups. Within the Hosking-Wallis test one compares variability calculated with respect to L-moments with expected variability for homogeneous groups.The aim of our research was to apply the Hosking-Wallis test to investigate the homogeneity of DEA groups of companies. In the paper we present the results of our research for a set of Polish production companies listed on Warsaw Stock Exchange.
2
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Indeks Malmquista i zmiany efektywności względem granicy nieefektywności: analiza wybranych firm notowanych na GPW w Warszawie

100%
Grzybowska U., Karwański M.
Studia Ekonomiczne
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2018
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vol. 364
86-98
PL
W pracy przedstawiono zastosowanie pesymistycznego modelu DEA CCR oraz pesymistycznego indeksu Malmquista do badania zmian efektywności i produktywności polskich firm notowanych na GPW w Warszawie. Analiza efektywności poparta została wizualizacją obiektów w przestrzeni dwuwymiarowej. Obliczenia wykonano w pakiecie SAS w oparciu o wskaźniki finansowe firm publikowane w raportach finansowych.
EN
In the paper, application of pessimistic CCR DEA model and pessimistic Malmquist index to examination of efficiency and productivity changes was presented. The calculations were done for two groups of companies traded on Warsaw Stock Exchange. Analysis of efficiency was supported by graphical representation obtained with use of multidimensional scaling. Calculations were done in SAS using financial indicators published in financial reports.
3
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Dobór progów łączenia strat pochodzących z różnych źródeł w ryzyku operacyjnym

100%
Karwański M., Grzybowska U.
Studia Ekonomiczne
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2018
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vol. 364
99-113
PL
Banki do obliczeń ryzyka operacyjnego wykorzystują metodologię LDA (Loss Distribution Approach) polegającą na estymacji rozkładów prawdopodobieństwa strat. Rozkłady hybrydowe są bardzo atrakcyjną alternatywą dla wieloparametrycznych modeli rozkładów stosowanych w praktyce. Tym niemniej rodzą szereg problemów natury technicznej. Na podstawie przykładów przeliczonych w artykule zaprezentowane zostały rozwiązania w dziedzinie budowy estymatorów, które mogą być stosowane w praktyce.
EN
Banks use LDA (Loss Distribution Approach) method to estimate loss probability distributions. Mixed distributions are a very attractive alternative to multiparameter distribution models currently used. However, this approach gives rise to a number of technical problems. Based on the real life examples the suitable solutions are presented.
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APPLICATION OF MIXED MODELS AND FAMILIES OF CLASSIFIERS TO ESTIMATION OF FINANCIAL RISK PARAMETERS

100%
Grzybowska U., Karwański M.
Metody Ilościowe w Badaniach Ekonomicznych
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2015
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vol. 16
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issue 1
108-115
EN
The essential role in credit risk modeling is Loss Given Default (LGD) estimation. LGD is treated as a random variable with bimodal distribution. For LGD estimation advanced statistical models such as beta regression can be applied. Unfortunately, the parametric methods require amendments of the “inflation” type that lead to mixed modeling approach. Contrary to classical statistical methods based on probability distribution, the families of classifiers such as gradient boosting or random forests operate with information and allow for more flexible model adjustment. The problem encountered is comparison of obtained results. The aim of the paper is to present and compare results of LGD modeling using statistical methods and data mining approach. Calculations were done on real life data sourced from one of Polish large banks.
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