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Credit raiting
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1.1.1
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a1
1/1 .
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-1- .
1.1
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1.2
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1.3
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1.4
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1.1.2
.
. Yt f , X t u t y t 0 1 .
.
yt = 1
Pt . yt = 0 (1 - Pt ) .
E (Yt ) = 0 (1 - Pt ) + 1 Pt = Pt
y t -
E y t / X X t f , X t Pt = f (, X t ) Pt
.
.
p i E (Yi / X i )
1
1 e
(1 2 X i )
yi , xni , zi 1 2 xi
p i E (Yi / X i )
1
1 e
zi
. .
1 pi 1
1
1 e zi 1
e zi
1 e zi
1 e zi
1 e zi
pi
1 pi
1 / 1 e zi
1
z e zi (2.1)
zi
zi
e / 1 e
e i
pi
z i Li 1 2
2.1 ln
1
p
i
Xi
.
0 1
(0,1) ln ; ln
1 0
.
pi .
.
1965-75 .
. i
. j = {1, 2, 3n} n .
Pji . : P1i Pi 2 Pi 3 Pin 1
(2.2)
. i - .
P1i =1+1 X i
P = + X
2i
2
2
i
P3i = 3+ 3 X i
Pni= n + n X i
(2.3)
( , , )
1
( 1, 2 , 3
2n
.
. 2n
.
1 2 3 n 1
1 2 3 n 0
(2.4)
.
(4)
.
P1 , P2 , P3 Pn - (P) .
.
P1i - P1 1 1 X i - 1 1 X 1 X i - X 1 xi . Y 3
.
P1i =1 x i
P = x
2i
2
i
P3i = 3 x i
Pn i= n x i
(2.5)
(5) i .
n
1i
xi
i 1
n
,
2
2
i
1 + 2 + 3 + n
1i
xi
i 1
n
i 1
2
i
2
i
i 1
2i
P3i x i
i 1
n
i 1
i 1
x P
...
n
2
i
xi
2
i
i 1
i 1
ni
i 1
n
P1 - 1 X
P2 -
P3 -
Pn -
1 + 2 + 3 + n P1 P2 P3 Pn
1965
.
N-
.
P
ln
1 - Pt
0 1 xt
(2.6)
(2.7)
(7) 6 4- .
ln P3i / P2i ln P3i / P1i P1i / P2i ln P3i / P1i - ln P1i / P1i
32 32 X i 31 31 X i - 21 21 X i
32
31 - 21
P3 2 3 2 - 3 2
P2 i
P1i
n 2i
N
2
n1i
N
1
n 3i
n 2 i ; P3i
n
3i ;
P1i
n1i
n1i
n1i
P3 1 e - 21 21X i
e - 32 32 X i
- 31 31X i
P1 1 e
(Probit)
1933 M.Fadden .
. Logit .
.
0 1 xt ut
X i ,
u t . I t - :
Pt -
*
. pt p( y t 1) pt ( I t I t ) F ( I t )
It
1
2
t2
2
* e dt
I t -
. :
F 1 ( Pt ) 0 1 xt ut . Pt - .
1.
22 100
,
30 .
Mean
0.47
Std. Deviation
0.665065
c1
c2
-1.90
9.938105
c3
-3.92
21.60656
c4
0.53
0.665066
c5
0.28
0.863073
c6
0.11
0.289991
c7
3.39
4.375542
c8
2.08
3.126191
c9
//
4.14
9.55497
c10
//
5.22
11.33145
c11
//
1.81
4.1223
c12
0.40
0.329696
c13
1.00
0.957762
c14
-1.52
10.11349
c15
0.23
0.279744
10
c16
3.46
9.385723
c17
0.01
0.064327
c18
0.09
0.469789
c19
/ROE/
0.09
0.469789
c20
/ROA/
0.01
0.064327
c21
186.87
720.1532
c22
0.05
1.457868
c23
-37.99
179.329
c24
0.09
2.236767
c25
0.25
0.74751
5.88
12.77389
0.53
0.665066
-4.27
19.87279
0.22
0.342302
2.02
3.146657
c26
c27
c28
c29
c30
, ,
. ,
.
30
10 .
C1
C8
C11
C12
C1
C8
C11
C12
C14
C18
C19
C22
C25
C26
1.00
0.26
0.20
0.29
0.17 -0.17 -0.17
0.14
0.08
0.17
0.26
1.00 -0.14 -0.15 -0.16 -0.18 -0.18
0.06 -0.04
0.18
0.20 -0.14
1.00
0.20
0.06 -0.03 -0.03 -0.03 -0.07 -0.04
0.29 -0.15
0.20
1.00
0.01
0.07
0.07
0.20
0.10 -0.18
11
C14
C18
C19
C22
C25
C26
0.17
-0.17
-0.17
0.14
0.08
0.17
-0.16
-0.18
-0.18
0.06
-0.04
0.18
0.06
-0.03
-0.03
-0.03
-0.07
-0.04
0.01
0.07
0.07
0.20
0.10
-0.18
1.00
0.14
0.14
0.07
0.06
0.04
0.14
1.00
1.00
-0.31
0.13
-0.44
0.14
1.00
1.00
-0.31
0.13
-0.44
0.07
-0.31
-0.31
1.00
0.19
-0.01
0.06
0.13
0.13
0.19
1.00
-0.34
0.04
-0.44
-0.44
-0.01
-0.34
1.00
k1
""
k2
""
k3
2,16387
-2,12387
20
" "
0,97075
13
k4
""
0,13851
18
k5
" "
1,57897
k6
" "
1,38175
k7
" "
0,20517
17
k8
" "
0,23516
16
k9
""
1,29135
10
k10
"-"
1,17438
11
k11
" "
0,41032
15
k12
""
1,01200
12
k13
" "
16,84400
k14
""
13,02500
k15
""
7,65400
k16
""
7,43000
k17
" "
4,92700
k18
" "
0,86800
14
k19
" "
-0,06700
19
k20
" "
9,11400
k21
" "
-2,72800
21
12
k22
" "
-3,85000
22
""
k1
96
28.50%
""
k2
175
100.00%
22
" "
k3
133
61.90%
14
k4
142
80.90%
18
" "
k5
100
33.30%
" "
k6
120
42.80%
11
" "
k7
141
76.10%
17
" "
k8
138
71.40%
16
""
k9
126
52.30%
12
"-"
k10
117
38.00%
k11
155
90.40%
20
k12
120
42.80%
11
" "
k13
29
0.00%
""
k14
55
4.70%
""
k15
55
4.70%
k16
68
14.20%
k17
79
23.80%
k18
128
57.10%
13
k19
148
85.70%
19
k20
77
19.00%
13
k21
135
66.60%
15
k22
172
95.20%
21
:
.
8
C1
22
C8
16
C11
10
C12
8
C14
1
C18
5
C19
2
C22
3
C25
25
C26
k1
8,00
1,37
1,18
2,68
0,41
0,01
-0,41
0,06
0,23
0,55
k2
-8,00
-1,37
-1,18
-2,68
-0,41
0,00
0,41
-0,06
-0,23
-0,55
k3
2,06
5,31
-0,82
-1,36
-0,38
0,07
-0,43
0,02
-0,12
0,57
k4
1,60
-0,74
5,90
1,83
0,13
-0,49
-0,08
-0,01
-0,22
-0,13
k5
2,31
-0,78
1,17
9,26
0,01
0,02
0,16
0,09
0,31
-0,59
k6
1,40
-0,85
0,33
0,05
2,35
0,00
0,34
0,03
0,17
0,12
k7
-1,36
-0,93
-0,20
0,61
0,33
0,00
2,43
-0,13
0,39
-1,44
k8
-1,36
-0,93
-0,20
0,61
0,33
0,01
2,43
-0,13
0,39
-1,44
k9
1,09
0,31
-0,17
1,81
0,16
0,00
-0,75
0,43
0,56
-0,02
k10
0,62
-0,21
-0,44
0,96
0,14
0,03
0,32
0,08
3,00
-1,10
k11
1,34
0,94
-0,23
-1,68
0,09
0,02
-1,08
0,00
-1,02
3,25
k12
-0,08
22,00
5,25
4,35
-10,68
-0,19
-0,95
0,03
0,06
2,48
k13
7,04
14,08
16,00
10,00
2,87
0,08
0,39
0,07
0,54
24,80
k14
7,20
7,81
6,85
6,57
1,86
0,02
0,10
0,04
0,36
25,00
k15
4,08
4,46
3,60
4,26
2,14
0,02
0,12
0,80
1,32
6,32
k16
1,60
1,65
10,63
6,20
8,00
0,04
0,19
0,07
0,00
2,34
k17
5,12
6,70
3,60
3,70
1,46
0,01
0,07
0,03
0,06
4,08
14
k18
4,16
1,17
1,00
0,83
0,38
0,00
0,00
0,00
0,00
-0,92
k19
3,28
4,73
0,47
0,46
0,28
-0,03
-0,15
-0,15
-0,09
-3,66
k20
1,12
3,45
2,54
3,52
6,61
0,06
0,29
2,00
0,27
-0,73
k21
-0,80
1,70
1,77
2,04
-5,25
1,00
5,00
-1,51
-0,48
-5,58
k22
0,80
1,43
0,30
0,28
0,71
-0,27
-1,33
-1,16
-0,33
-2,34
""
14,08
-14,06
22
" "
4,94
13
7,79
10
11,96
3,95
14
" "
-0,31
19
" "
-0,29
18
""
3,42
16
"-"
3,41
15
1,63
17
22,27
" "
75,87
""
55,81
""
27,13
30,72
24,84
6,62
11
""
" "
" "
15
5,15
12
19,13
-2,11
21
-1,92
20
:
.
""
k1
8,06
2,84
""
k2
14,09
3,75
22
" "
k3
9,68
3,11
16
k4
10,16
3,19
17
" "
k5
8,10
2,85
" "
k6
8,92
2,99
11
" "
k7
9,56
3,09
14
" "
k8
9,53
3,09
15
""
k9
8,98
3,00
12
"-"
k10
8,53
2,92
k11
10,97
3,31
18
k12
12,82
3,58
21
" "
k13
3,86
1,96
""
k14
5,11
2,26
""
k15
5,48
2,34
k16
6,35
2,52
k17
6,86
2,62
k18
8,83
2,97
10
16
k19
9,39
3,06
13
k20
6,27
2,50
k21
12,16
3,49
19
k22
12,56
3,54
20
.
,
.
.
""
""
" "
" "
" "
" "
" "
""
"-"
" "
""
""
" "
""
""
""
k1
k2
k3
k4
k5
k6
k7
k8
k9
k10
k11
k12
k13
k14
k15
k16
k17
k18
k19
k20
k21
k22
II
6
20
13
18
8
9
17
16
10
11
15
12
1
2
4
5
7
14
19
3
21
22
7
22
14
18
8
11
17
16
12
9
20
11
1
3
3
4
6
13
19
5
15
21
III
8
22
13
10
9
14
19
18
16
15
17
6
1
2
4
3
5
11
12
7
21
20
IV
7
22
16
17
8
11
14
15
12
9
18
21
1
2
3
5
6
10
13
4
19
20
28
86
56
63
33
45
67
65
50
44
70
50
4
9
14
17
24
48
63
19
76
83
7
22
14
15
8
10
18
17
12
9
19
13
1
2
3
4
6
11
16
5
20
21
1
2
3
4
5
6
7
17
" "
"-"
" "
""
" "
" "
" "
""
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
.
4
4
.
86
.
.
.
Coefficient
Std. Error
z-Statistic
Prob.
C1
C2
C3
C4
C5
C6
C7
C8
C9
C10
0.137007
-0.078687
0.032715
-1.160648
3.312456
-7.982803
1.155211
-1.461905
-0.189968
0.227305
0.944710
0.139048
0.061933
0.847444
2.122113
6.139225
0.682561
0.944788
0.165919
0.135278
0.145026
-0.565894
0.528236
-1.369588
1.560924
-1.300295
1.692466
-1.547338
-1.144950
1.680279
0.8847
0.5715
0.5973
0.1708
0.1185
0.1935
0.0906
0.1218
0.2522
0.0929
18
0.636364
0.441021
2.333995
-7.144004
-0.324727
8
14
0.492366
1.558546
2.054474
1.675372
Total obs
22
1- 10
7, 9 .
.
Dependent Variable: DDD
Method: ML - Binary Probit
Date: 04/05/08 Time: 11:09
Sample: 1 22
Included observations: 22
Convergence achieved after 9 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
C11
C12
C13
5.891464
-18.06418
3.097299
3.674864
13.45711
3.131897
1.603179
-1.342352
0.988953
0.1089
0.1795
0.3227
C14
-0.080129
0.197593
-0.405527
0.6851
C15
C16
C17
-3.063304
-0.089541
14.39827
2.284549
0.163798
14.57327
-1.340879
-0.546658
0.987991
0.1800
0.5846
0.3232
C18
0.160043
1.974052
0.081073
0.9354
0.636364
0.400122
2.241366
-6.477801
-0.294446
8
14
0.492366
1.316164
1.712906
1.409624
Total obs
22
11- 18
.
Dependent Variable: DDD
Method: ML - Binary Probit
Date: 04/05/08 Time: 11:12
Sample: 1 22
Included observations: 22
Convergence not achieved after 9 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
19
C19
C20
C21
C22
C23
C24
C25
C26
C32
C33
C34
C35
Mean dependent var
S.E. of regression
Sum squared resid
Log likelihood
Avg. log likelihood
Obs with Dep=0
Obs with Dep=1
89.59958
-96.65980
-0.009148
56.75792
-0.015885
2.111607
-1.085296
2.992975
-1.882511
-29.76619
2.097847
-11.88869
0.636364
0.006048
0.000366
-0.042853
-0.001948
8
14
46.90344
159.2502
0.008595
31.89880
0.009713
2.451769
5.883542
1.446570
2.829543
15.20018
25.06000
6.043338
1.910299
-0.606968
-1.064371
1.779312
-1.635392
0.861259
-0.184463
2.069015
-0.665305
-1.958278
0.083713
-1.967240
0.0561
0.5439
0.2872
0.0752
0.1020
0.3891
0.8537
0.0385
0.5059
0.0502
0.9333
0.0492
0.492366
1.094805
1.689919
1.234996
22
19- 35
19 /ROE/, 22
, 26 , 33
, , 35
.
.
Dependent Variable: DDD
Method: ML - Binary Probit
Date: 04/05/08 Time: 11:19
Sample: 1 22
Included observations: 22
Convergence not achieved after 5 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
C7
C10
C19
C22
C26
C33
C35
-0.076301
0.303469
-0.936821
0.707146
0.419018
-3.284723
-1.359503
0.327443
0.165713
2.993794
0.521639
0.192194
1.495053
0.706977
-0.233020
1.831291
-0.312921
1.355625
2.180181
-2.197061
-1.922981
0.8157
0.0671
0.7543
0.1752
0.0292
0.0280
0.0545
0.636364
0.360832
1.952996
-6.039582
-0.274526
8
14
0.492366
1.185417
1.532566
1.267195
22
20
7, 19, 22
.
Dependent Variable: DDD
Method: ML - Binary Probit
Date: 04/05/08 Time: 11:21
Sample: 1 22
Included observations: 22
Convergence not achieved after 5 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
C10
C26
C33
C35
0.323078
0.339643
-2.674223
-1.158786
0.177389
0.162575
1.299943
0.603910
1.821294
2.089153
-2.057184
-1.918805
0.0686
0.0367
0.0397
0.0550
0.636364
0.392478
2.772701
-8.476755
-0.385307
8
14
0.492366
1.134250
1.332622
1.180981
Total obs
22
10 0,0686%-
, 26 0,0367%- ,
33 , 0,0397%- , 35
0,055%-
. :
0.177389
0.162575
1.299943
0.603910
z-Statistic
1.821294
2.089153
-2.057184
-1.918805
: Y1=1 .
Y1=0 .
, ,
.
Correlation Matrix
C10
C10
1
C26
0.101568770235
C33
0.0741172632934
C35
-0.0763633441444
21
C26
C33
C35
0.0914338578106
1
0.191757442859
-0.150412318046
1
Zeta score
SPSS
5
.
1. C27 - /
2. C28 - /
3. C29 - /
4. C30 - /
5. C31 - /
.
DDD
27
28
29
30
31
Result
Default
prob
Undefault
prob
K1
0.1127
-2.7772
-0.0690
-0.6767
0.0667
0.270
0.730
K2
0.2061
0.1799
0.0169
94.4314
0.0102
0.968
0.032
K3
0.4264
0.5167
0.1414
1.9523
0.3094
0.674
0.326
K4
0.0969
-0.0555
-0.0105
38.8451
0.1322
0.735
0.265
K5
0.2203
0.0660
0.0505
13.7614
0.5021
0.293
0.707
K6
0.4735
0.0043
-0.0016
4.2747
0.0553
0.347
0.653
K7
0.3299
0.3173
0.0007
3.7426
1.2260
0.836
0.164
K8
0.0756
-0.0171
0.0250
1.8681
0.1283
0.799
0.201
K9
-0.0690
-0.1325
-0.0042
10.0720
0.4239
0.489
0.511
K10
0.2114
0.1551
0.0829
8.3506
0.5227
0.301
0.699
K11
0.0467
0.7013
0.0550
2.4300
0.4976
0.732
0.268
K12
0.4690
-0.2094
0.0079
-0.0101
0.4725
0.567
0.433
K13
0.2783
0.8030
0.2088
7.3610
1.0706
0.154
0.846
K14
0.5185
0.4982
0.0575
9.1369
0.7036
0.199
0.801
22
K15
0.2605
0.3085
0.0446
1.0319
0.4327
0.243
0.757
K16
-0.3730
0.1958
0.0246
0.2435
0.6657
0.234
0.766
K17
0.2941
-0.1754
0.0278
1.7621
0.0004
0.267
0.733
K18
0.0317
-0.7619
-0.0005
1.1034
0.0859
0.434
0.566
K19
0.0381
-1.1161
-0.0251
0.6831
0.0629
0.775
0.225
K20
0.0469
-0.5856
0.0176
0.1587
0.3846
0.255
0.745
K21
-0.3676
-0.5557
-0.2014
-0.0895
0.2197
0.763
0.237
K22
-0.2291
-0.2562
-0.0560
0.1127
0.0306
0.803
0.197
.
.
.
5C- SWOT
Back-Up
- .
:
:
23
1. - 5 .
Character-
Capacity-
Capital-
Condition-
Collatral-
2. 5P -
People-
Payment-
Purpose-
Protection-
Plan-
3. SWOT
Stength-
Weakness-
Opportunity-
Trheat-a
4. CAMPARI .
Character,Ability-C , , ,
,
Means- , , ,
,
Purpose- , ,
Amount- ,
Pepayment- , ,
Interest and Insurance-,
5. PARSER .
Person -
Amount -
Repayment -
Security -
Expediency
Remuneration
6. Pest .
Political- ,
, .
Economic- , .
24
Social- ,
Technologies , ,
7. LGD ( Loss Given Default ) .
. ,
.
8. CAMEL .
Capital -
Assets -
Management -
Earing -
Liquidity -
,
.
.
.
. credit scoring
, .
,
.
.
1. (30 )
2. (50 )
3. , (12 )
4. (8 )
25
100-85
86-70
69-55
54-30
31-0
2.1 (30 )
, , ,
.
.
-
.
.
. 22
35
11 .
Corellation Matrix
C1
C2
C1
C2
C11
C12
C13
C16
C18
C26
C32
C33
C34
1.00
-1.00
0.20
0.29
0.11
0.16
-0.12
0.41
-1.00
0.18
0.25
-1.00
1.00
-0.20
-0.29
-0.11
-0.16
0.12
-0.41
1.00
-0.18
-0.25
26
C11
C12
C13
C16
C18
C26
C32
C33
C34
0.20
0.29
0.11
0.16
-0.12
0.41
-1.00
0.18
0.25
-0.20
-0.29
-0.11
-0.16
0.12
-0.41
1.00
-0.18
-0.25
1.00
0.20
-0.06
0.01
-0.06
0.02
-0.20
0.05
-0.03
0.20
1.00
0.62
0.18
-0.01
-0.09
-0.29
-0.05
0.26
-0.06
0.62
1.00
-0.01
0.08
-0.20
-0.11
0.00
0.05
0.01
0.18
-0.01
1.00
-0.01
0.01
-0.16
0.06
0.02
-0.06
-0.01
0.08
-0.01
1.00
-0.09
0.12
0.22
-0.10
0.02
-0.09
-0.20
0.01
-0.09
1.00
-0.41
0.09
0.45
-0.20
-0.29
-0.11
-0.16
0.12
-0.41
1.00
-0.18
-0.25
0.05
-0.05
0.00
0.06
0.22
0.09
-0.18
1.00
-0.19
-0.03
0.26
0.05
0.02
-0.10
0.45
-0.25
-0.19
1.00
30% 30 :
: 5
: 3
: 7
: 9
: 6
1
1-
1
0,9>
1,5
0.8-0.3
. >0.5
0.2<
>1.8
1.5
0.1-1,7
<0
11
//
12
0.8
0.1-2.9
0.2
0<
1<
0.8
0.1-0.9
0.2
2,5
3
3<
2,5
27
/
13
0<
2<
0.8
0.1-0.9
0.2
0<
3
16
18
>1.1
2,5
1-0.5
1,5
<0.4
- 1
0.9>
08.-0.5
<0.4
-
.
4
32
<0.1
0.2-0.5
>0.6
<0.3
0.4-0.7
>0.8
0,2-0,25
>0.4
0.3-0.2
<0.1
0,5<
/
34
9
0,2<
33
C26
>3,5
Z=3.3*X1+X2+0.6*X3+1.4*X4+1.2*X5
3.4-1.5
<1.4
2,675>
30
28
10
1.0
Series: C1
Sample 1 22
Observations 22
0.8
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.473182
0.655000
0.990000
-2.090000
0.664153
-2.744058
11.20335
Jarque-Bera
Probability
89.29647
0.000000
0.6
0.4
0.2
0.0
-2
-1
C1
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
: C1
1- .
0,5 .
0,8-0,99
. 0,47318, 0,6641 .
0,9- 1,5 , 0,8-0,3 1
.
. / /
2.2 (50 )
1. : 10
2. : 9
3. : 11
4. : 6
5. : 5
6. : 9
29
1.
1.1
>5
0,7
1-4
0,3
1.2
1.3
0,6
0,2
0,5
0,2
0,5
0,2
, .
0,7
0,3
<15
0,7
1-14
0,3
>5
0,7
4-2
0,3
1.6
1.7
1.8
<35%
0,6
36-80%
0,2
>81%
1.9
0,7
0,3
1.1
0
0,7
0,3
1.5
1.4
10
0,8
0,7
0,7
0,8
30
, ,
1.1
- ,
0,7
0,3
1
2.
2.1
2.2
3-1
0,5
>4
0,1
0,5
<
1,3
0,7
>
0,8
3-6
0,4
0,9
0,4
2.3
2.4
2.5
1,2
1,8
1,5
1,2
1,3
2.6
0,8
0,4
3.
3.1
11
0,9
0,4
0,8
0,4
1,2
1,3
1,2
31
3.2
3.3
3.4
3.5
3.8
1,3
0,7
, ,
1,3
0,7
0,7
0,3
0,5
0,8
3.7
3.6
0,4
<50%
0,6
, 100%
51-90%
0,2
91-100%
4.
4.1
4.2
4.3
> 40%
1,5
1,2
0,8
1,3
< 39%
0,7
>
1,3
0,7
>
1,3
, ,
0,7
6.
9
95-100%
1,5
32
6.1
6.2
6.3
6.4
75-96%
< 74%
1,5
0,7
0,3
, ,
2,5
2,5
50
2.3 , (12 )
.
. :
1.
.
2. 3 . , ,
.
.
3.
,
.
.
33
1. :
,
. :
, .
2. :
. .
34
3. :
, . ,
.
. = + / +
.
.
.
(12)
(9)
(6)
12
, -
1. 2
12
.
2. ( )
.
2.4
(8 )
35
. .
.
,
.
.
:
.
.
4. :
.
36
.
. : ?
( ) , ( )
? .
,
.
? .
. .
,
. ,
.
4
12 .
. :
1.
2.
3. .
8 .
1. : 0-1
2. : 0-2
3. : 0-2
37
4. , : 0-2
5. : 0-1
.
.
.
( )
(0-1 )
(0-2 )
(0-2 )
(0-2 )
(0-1 )
,
, ,
, ,
,
, ,
,
,
,
,
, ,
, ,
-
,
,
. ,
. ,
. :
1. ,
38
2. ,
3.
4.
, . ,
,
.
, . :
1.
2.
3.
4. ,
.
,
,
. ,
,
,
, ,
, , .
3. :
3.1 :
.
, ,
. :
39
( ) .
.
2 , 2
.
.
0%
0%
0%
0%
5%
2,5%
2,5%
45%
22,5%
22,5%
75%
37,5%
37,5%
100%
50%
50 %
, 2,5%- 5%-
2,5%- .
5%- . 3
.
3.2 ,
:
. 2 . 3
2 . 2 50%, 50%-
40
,
.
-
- :
- .
, .
100%- 50%- . 50% .
. ,
.
, ,
.
:
1.
2.
3.
4.
50%
50%
1:
2:
3:
4:
- .
3.3
.
- .. 1966
Z .
41
.
- , ,
.
.
.
. .
.
,
400 190
.
88 .
.
.
X1
X2
X3
X4
X5
X1
0.342504516698
0.0681116003532
0.26415720854
0.204015542249
X2
0.34250451668
0.274163604471
0.169903023599
0.207514007436
X3
0.06811160032
0.274163604471
-0.00657067494
0.408359384419
X4
0.26415720854
0.169903023599
-0.006570674944
-0.04078994678
X5
0.20401554229
0.207514007436
0.408359384419
-0.04078994977
:
Eviews 5.0 .
42
1. :
Dependent Variable: L
Method: ML - Binary Logit
Date: 12/01/07 Time: 18:48
Sample: 1 88
Included observations: 88
Convergence not achieved after 10 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
X1
0.533014
0.200660
2.656308
0.0079
X2
0.882466
0.330899
2.666870
0.0077
X3
4.577264
1.850672
2.473299
0.0134
X4
0.530089
0.204618
2.590629
0.0096
X5
0.291514
0.123389
2.362559
0.0181
0.715909
0.453565
S.E. of regression
0.077826
0.154066
0.502715
Schwarz criterion
0.294823
Hannan-Quinn criter.
0.210773
Log likelihood
-1.778885
-0.020215
25
63
Total obs
88
Substituted Coefficients:
=====================
L = 1-@LOGIT(-(0.5330136006*X1 + 0.8824655467*X2 + 4.577264148*X3 + 0.5300894496*X4 +
0.2915138416*X5))
2. :
Dependent Variable: L
Method: ML - Binary Probit
Date: 11/27/07 Time: 13:50
43
Sample: 1 88
Included observations: 88
Convergence not achieved after 10 iterations
Covariance matrix computed using second derivatives
Variable
Coefficient
Std. Error
z-Statistic
Prob.
X1
0.315382
0.119082
2.648453
0.0081
X2
0.521622
0.196800
2.650520
0.0080
X3
2.709515
1.103562
2.455244
0.0141
X4
0.312200
0.121573
2.567999
0.0102
X5
0.173216
0.073232
2.365305
0.0180
0.715909
0.453565
S.E. of regression
0.079447
0.153191
0.523878
Schwarz criterion
0.293949
Hannan-Quinn criter.
0.209899
Log likelihood
-1.740426
-0.019778
25
63
Total obs
88
Substituted Coefficients:
Z=0,315381866X1+0,521621984X2+2,70951494X3+0,3122001991X4+0,1732164514X5
.
.
. Akaike
Schwarz
.
:
44
K i - , L 0
, 1
.
1. Z . /1968/
Z=1.2X1+1.4X2+3.3X3+0.6X4+1.0X5
Z<1.810
1.810 Z<2.675
Z=2.675 0.5
2.675<Z2.990
Z>2.990
85-90 , 3
83 .
2. ZETA . /1977/
Z=6.56X1+3.26X2+6.72X3+1.05X4
Z<1.1
3.
Z=0.53X1+0.13X2+0.18X3+0.16X4
Z<0.2
Z>0.3
4.
Z=0.063X1+0.092X2+0.057X3+0.001X4
Z<0.037
Z>0.037
6. Z-new .
Z=0,315381866X1+0,521621984X2+2,70951494X3+0,3122001991X4+0,1732164514X5
Z< -0,0697 .
. :
45
1 /
2 - /
3 - /
4 - /
5 - /
88 .
ZETA
Z -new
k1
2005
0,84248
-0,3587
0,12409
-0,0307
0,412362
k2
2004
0,44442
-0,4019
-0,0315
-0,001
0,112396
...
......
......
......
......
......
......
...
......
......
......
......
......
......
k87
2006
1,94337
5,4677
0,64619
0,04315
0,657583
k88
2005
4,9012
8,50099
0,55956
0,1136
2,954135
26
2,99-
48
26
2,6
0,3-
1.81-2.99
1-2,59
0.2-0.3
1.81-
1,1-
0,2-
85-90%
22
63
0,037-
-0,0014
0,037
90%
-0,0697
96,5-100%
. /1968/ 88 26
62 .
ZETA . /1977/
88 48 .
66 ,
25 .
:
46
88
( L 25 0 ). :
1- : . /1968/, .
/1977/, ,
88 25
. ( 0 ,
1 )
ZETA
k5
2006
-0,35273
0,929719
-0,0574
0,26648
k6
2006
-0,60545
-3,96327
-0,04527
-0,28687
k10
2006
0,108399
-0,38919
-0,01003
0,014406
k13
2006
0,409279
-1,74624
-0,05314
-0,03536
k15
2006
-3,47272
-10,1971
-0,1717
-0,6516
k21
2006
-1,58234
-5,99372
-0,10662
-0,35545
k32
2006
-4,32613
-15,6756
-0,2624
-0,99982
k33
2006
-0,77448
-3,42208
-0,0613
-0,17192
k36
2006
-2,24732
-6,88061
-0,12709
-0,39127
k37
2006
-0,62821
-1,72462
-0,06754
0,001892
k38
2006
-1,29308
-3,13181
-0,10132
-0,06453
k39
2006
-0,05691
-1,68141
-0,02389
-0,12155
k41
2006
-0,08508
-0,48411
-0,02735
0,060933
k44
2006
-0,23832
-1,33759
-0,04976
-0,02605
k49
2006
-0,22646
-2,168
-0,03602
-0,09612
k52
2006
-0,00206
-0,27879
-0,06549
0,170176
k53
2006
-0,08006
-0,43199
-0,02807
0,067529
k56
2006
-0,81826
-4,3018
-0,05867
-0,18853
47
k67
2006
-0,83721
-4,44885
-0,06524
-0,28179
k68
2006
-1,71757
-5,67094
-0,08585
-0,31772
k69
2006
-0,54084
-2,47669
-0,03684
-0,12212
k71
2006
-0,22819
-2,33014
-0,04296
-0,10834
k72
2006
-0,72669
-2,60681
-0,04107
-0,14854
k76
2006
-0,22826
-2,33061
-0,04297
-0,10837
k81
2006
0,307552
-0,37267
-0,02092
0,021737
1,81-
1,1-
0,037-
0,2-
25
.
. 25
.
2- :
( ) .
X1
X2
X3
X4
X5
k5
-0,35273
0,929719
-4,70796
-0,0574
0,26648
k6
-0,60545
-3,96327
0,199717
-0,04527
-0,28687
k10
0,108399
-0,38919
-0,37552
-0,01003
0,014406
k13
0,409279
-1,74624
-0,03325
-0,05314
-0,03536
k15
-3,47272
-10,1971
-5,82595
-0,1717
-0,6516
k21
-1,58234
-5,99372
-2,7051
-0,10662
-0,35545
k32
-4,32613
-15,6756
-4,83093
-0,2624
-0,99982
k33
-0,77448
-3,42208
-1,46334
-0,0613
-0,17192
k36
-2,24732
-6,88061
-4,23113
-0,12709
-0,39127
k37
-0,62821
-1,72462
-2,99797
-0,06754
0,001892
k38
-1,29308
-3,13181
-4,64677
-0,10132
-0,06453
48
k39
-0,05691
-1,68141
-0,12578
-0,02389
-0,12155
k41
-0,08508
-0,48411
-1,59134
-0,02735
0,060933
k44
-0,23832
-1,33759
-1,56997
-0,04976
-0,02605
k49
-0,22646
-2,168
-0,41088
-0,03602
-0,09612
k52
-0,00206
-0,27879
-2,75162
-0,06549
0,170176
k53
-0,08006
-0,43199
-1,37475
-0,02807
0,067529
k56
-0,81826
-4,3018
-1,70862
-0,05867
-0,18853
k67
-0,83721
-4,44885
-0,84414
-0,06524
-0,28179
k68
-1,71757
-5,67094
-2,72343
-0,08585
-0,31772
k69
-0,54084
-2,47669
-1,1434
-0,03684
-0,12212
k71
-0,22819
-2,33014
-0,58137
-0,04296
-0,10834
k72
-0,72669
-2,60681
-1,16509
-0,04107
-0,14854
k76
-0,22826
-2,33061
-0,58136
-0,04297
-0,10837
k81
0,307552
-0,37267
-0,66047
-0,02092
0,021737
.
1 /
2 - /
3 - /
4 - /
5 - /
Z .
. , ,
,
.
.
49
:
,
.
.
Point
Column1
Rank
Percent
60
13,52378
100,00%
77
13,07216
98,80%
70
-0,0014
63
28,70%
53
-0,00697
64
27,50%
52
-0,00966
65
26,40%
15
-1,47787
87
1,10%
32
-1,7008
88
0,00%
88
, 25 Z (
) 25 . Z
. .
1.Z >-0,014 100% .
2. -0,014<Z< -0,0697 96,15%
3. Z< -0,0697 100% .
.
Z=0,315381866X1+0,521621984X2+2,70951494X3+0,3122001991X4+0,1732164514X5
50
3.4 :
. 6 .
L1=
1
(A1+0.5*A2+0.3*A3)/
(1+0.5*2+0.3+4)
L2= A1/(1+2)
>0.2-0.7
L3=
(A1+A2)/(1+2)
L4=
(A1+A2+A3)/(1+2
)
L5=
(A1)/(1+2+3-12)
L6= (A1+A2+A3)/
0.7-0.8,
> 1.5
0.2
>0.5
0.01-0.3
0.01-0.2
0.01
0.01-0.3
0.70
(14
0.69-0.50
(13.8-10
)
0.99-0.80
(10.8-7
1.69-1.50
(18.7-13
)
0.49-0.30
(9.8-6
0.79-0.70
(6.8-5
1.49-1.30
(12.7-7
)
0.29-0.10
(5.8-2)
0.69-0.60
(4.8-3
1.29-1.00
(6.7-1
)
<0.10
(1.8-0
)
<0.59
(2.8-0
<0.99
(0.7-0
)
0.49-0.40
(9-7 )
0.39-0.30
(6.5-4
)
0.39-0.20
(9.2-3.5
)
0.29-0.20
(3.5-1
)
0.19-0.10
(3.2-0.5
<0.20
(0.5-0
<0.10
(0.2
)
1
(11
2
(20
1.7-2.0
19
0.50
(10 )
0.50
(12.5
)
0.49-0.40
(12.2-9.5
)
51
0.01 -0.3
0.01-0.4
0.1-1
0.49-0.45
(8.0- 6.4
)
1.23-1.44
(10.4-4.1
)
0.44-0.40
(6.0- 14.4
)
1.45-1.56
(3.8-0.5
)
0.39-0.31
(4.0- 0.8
)
1.57
(0.2-0
)
<0.30
(0.4- 0
)
0.80
(5 )
0.79-0.70
(4 )
0.69-0.60
(3 )
0.59-0.50
(2 )
100-97.6
93.5-67.6
64.4-37
33.8-10.8
<0.49
(1-0
)
7.6-0
<0.7-1.0
(17.517.7
>0.5-0.6
(9.0 10
)
1.01-1.22
(17.0-10.7
1 - ( 97-100 )
2 - ( 67-94 )
3 - ( 65-37 )
4 - ( 36-10 )
5 - ( 9-0 )
3.5
6
. , .
1. :
=(+6/(-))/2 > 1
,
- . 3, 6, 9, 12
>1
<1
.
2.
>2, >0.1
.
=(+3/(-))/2>1
52
>1 3
<1 .
:
:
. .
t=(+(- )/*t)
t>2 ,
.
:
.
.t=(+(-)/*t)/2
//
t-2
4.0870598
t-6
4.0399947
168
t-12
3.9693969
t-24
3.8282015
, 180
t-36
3.687006
t-60
3.404615
t-72
3.2634195
t-84
3.122224
t-96
2.9810286
t-108
2.8398331
t-120
2.6986376
t-132
2.5574421
t-144
2.4162466
/ /
t-156
2.2750511
t-168
2.1338556
t-180
1.9926602
53
.
, ,
.
.
,
.
(
.
SOCELB
.
-- . ,
) merton .
.
2
.
.
. . 1968
. . ,
54
, 88 26
.
88 :
ZETA 48, 4 26,
22 .
63 .
(
)
(
)
.
.
,
, .
,
.
. Assimetric Information
adverse selection moral
hazart .
,
Java (Java )
.
55
,
:
1. .ph . . (2007 )
2. .ph . . (2007 )
3. , ph.. (2007)
4. .- (2005 )
5. .
6. (ph) .
7. . (2002 )
8. .ph . . (2004 )
9. . (2006)
10. , , . .
(2004 )
11. "
2002 )
12. " " . (2006 )
13. . . (2003 )
:
14. Firm Heterogeneity and Credit Risk Diversification (Samuel Hanson,M. Hashem Persaran
(2005 )
15. Credit Risk and Bank Lending in the Czech Pepublic / Joerg Keplinger (2003)/
16. Charles M.Smithson, Credit Portfolio Management, New jersey: John Wiley &Sons (2006 )
17. Microeconomics (Robert S.Pindyck, Daniel L,Rubinfeld)
18. Reto R. Gallati (2003) Risk Management and Capital Adequacy, McGraw-Hill.
19. Philippe Jorion (2001) Value at Risk: The New benchmark for Managing Financial Risk,
Second Edition, McGraw-Hill
20. Philippe Jorion (2003) Financial Risk Manager Handbook, Second Edition, John Wiley and
Sons.
21. P. Embrechts, C. Kluppelberg, T. Mikosch (2001) Modelling Extremal Events for Insurance
and Finance, Third edition, Springer Verlag.
22. Eviews 5 Users Guide (2004)
23. Crouhy, M, Mark, R. and Galai, D., 2000, "Risk Management," McGraw-Hill
Trade.
24. Harmantzis, C. F., 2002, "Methodologies for Management and Measuring
Operational Risk," INFORMS Annual Meeting 2002 San Jose, Calif.
25. Cruz, M., Coleman, R. and Salkin, G., 1998, "Modeling and Measuring
Operational Risk," Journal of Risk, Vol. 1, pg. 63-72.
26. Operational Risk Special Report, 2000, Risk, November 2000
56
C1
C2
C3
C4
C5
C6
C7
C8
Mean
0.526776
0.280805
0.113044
3.394263
2.079226
Median
0.655000
0.222268
0.250565
0.343693
0.000000
0.000000
2.035595
1.064879
Maximum
0.990000
3.737782
8.876291
3.092625
3.634380
0.983759
20.66427
14.98548
Minimum
0.010479
0.000000
0.000000
0.236014
0.160922
Std. Dev.
0.664153
21.60656
0.665066
0.863073
0.289991
4.375542
3.126191
Skewness
2.740421
3.231635
2.461826
2.993823
3.397929
Kurtosis
11.20335
19.59251
19.01094
11.18875
12.20834
7.422778
12.26848
14.55701
Jarque-Bera
89.29647
319.5518
299.0370
89.00390
116.0201
40.15304
111.6102
164.7691
Probability
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
22
22
22
22
22
22
22
22
C9
C10
C11
C12
C13
C14
C15
C16
Mean
4.142029
5.218923
1.811628
0.398327
1.003425 -1.519244
0.232831
3.460637
Median
1.512630
1.501402
0.608475
0.391013
0.811939
0.468397
0.162438
1.208962
Maximum
44.95254
51.47361
19.88675
1.228159
3.459467
3.399297
0.977940
45.33089
Minimum
0.005739
0.002667
0.047325
0.030616
0.833139
Std. Dev.
9.554970
11.33145
4.122300
0.329696
0.957762
10.11349
0.279744
9.385723
Skewness
3.795874
3.402585
4.080616
0.949798
1.100815 -4.283446
1.075311
4.314058
Kurtosis
16.64539
14.04635
18.45088
3.349371
3.388569
19.60468
3.738814
19.76097
Jarque-Bera
223.5120
154.3046
279.8909
3.419647
4.581648
320.0147
4.740102
325.7601
Probability
0.000000
0.000000
0.000000
0.180898
0.101183
0.000000
0.093476
0.000000
22
22
22
22
22
22
22
22
C22
C23
Observations
Observations
9.938105
C17
C18
C19
C20
C21
Mean
0.006041
0.085312
0.085312
0.006041
186.8654
0.045013 -37.99475
Median
0.012659
0.033976
0.033976
0.012659
10.85257
0.055690
0.564211
Maximum
0.137558
2.062518
2.062518
0.137558
3347.145
4.595871
113.5636
Minimum
-0.202855
-0.552839
-0.552839
-0.202855
-174.0681
-3.481362 -815.7743
Std. Dev.
0.064327
0.469789
0.469789
0.064327
720.1532
1.457868
Skewness
-1.206270
3.457935
3.457935
-1.206270
4.096834
0.571784 -3.945745
Kurtosis
6.768744
15.87455
15.87455
6.768744
18.51120
7.157304
179.3290
17.68998
57
Jarque-Bera
18.35514
195.7846
195.7846
18.35514
282.0889
17.04168
254.8985
Probability
0.000103
0.000000
0.000000
0.000103
0.000000
0.000199
0.000000
22
22
22
22
22
22
22
Observations
C30
C31
C32
C33
C34
C35
Mean
9.115692
0.363792
0.526776
-4.266839
0.224032
2.019273
Median
1.910181
0.346997
0.343693
0.000000
0.063723
0.931866
Maximum
94.43144
1.225999
3.092625
0.315970
1.338655
14.98548
Minimum
-0.676650
0.000397
0.010479
-93.22933
7.49E-05
0.160922
Std. Dev.
20.87178
0.336977
0.665066
19.87279
0.342302
3.146657
Skewness
3.427408
1.031129
2.740421
-4.362394
1.988880
3.381557
Kurtosis
14.15043
3.513420
11.18875
20.03665
6.350938
14.44916
Jarque-Bera
157.0439
4.140131
89.00390
335.8386
24.79708
162.0878
Probability
0.000000
0.126178
0.000000
0.000000
0.000004
0.000000
22
22
22
22
22
22
Observations
2
Ker nel Dens ity ( Nor mal, h = 0.5006)
20
0.5
Series : C11
Sample 1 22
Obs erv ations 22
0.4
15
0.3
10
0.2
0.1
0.0
0
10
15
20
C11
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
1.811628
0.608475
19.88675
0.047325
4.122300
4.080616
18.45088
J arque-Bera
Probability
279.8909
0.000000
0
0.0
2.5
5.0
7.5
10.0
12.5
15.0
17.5
20.0
20
Series: C2
Sample 1 22
Observations 22
15
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
0.8
10
0.6
0.4
Jarque-Bera
Probability
0.2
-1.896395
0.222268
3.737782
-46.13379
9.938105
-4.280500
19.59251
319.5518
0.000000
0
-50 -45 -40 -35 -30 -25 -20 -15 -10
-5
0.0
-40
-30
-20
-10
C2
58
0.5
Seri es : C13
Sampl e 1 22
Obs erv ati ons 22
0.4
0.3
0.2
Mean
Medi an
Max i mum
Mi ni mum
Std. Dev .
Sk ewnes s
Kurtos i s
1.003425
0.811939
3.459467
0.117320
0.957762
1.100815
3.388569
J arque-Bera
Probabi l i ty
4.581648
0.101183
0.1
0
0.0
0.0
0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
25
Series : C16
Sample 1 22
Obs erv ations 22
1.4
20
1.2
1.0
15
0.8
10
0.6
0.4
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
3.460637
1.208962
45.33089
0.833139
9.385723
4.314058
19.76097
J arque-Bera
Probability
325.7601
0.000000
5
0.2
0.0
10
20
30
40
10
15
20
25
30
35
40
45
50
14
Series : C18
Sample 1 22
Obs erv ations 22
12
6
10
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
8
4
6
2
4
2
J arque-Bera
Probability
0
-0.5
0.0
0.5
1.0
1.5
195.7846
0.000000
2.0
-0.5
C18
Ker nel Dens ity ( Nor mal, h = 0.2159)
0.085312
0.033976
2.062518
-0.552839
0.469789
3.457935
15.87455
0.0
0.5
1.0
1.5
2.0
10
Series : C32
Sample 1 22
Obs erv ations 22
1.2
8
1.0
0.8
0.6
0.4
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
0.526776
0.343693
3.092625
0.010479
0.665066
2.740421
11.18875
J arque-Bera
Probability
89.00390
0.000000
2
0.2
0.0
0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
C32
25
Series : C33
Sample 1 22
Obs erv ations 22
0.05
20
0.04
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
15
0.03
0.02
10
0.01
-4.266839
0.000000
0.315970
-93.22933
19.87279
-4.362394
20.03665
J arque-Bera
Probability
0.00
- 100
- 80
- 60
- 40
- 20
335.8386
0.000000
**
10
C 33
20
Series : C34
Sample 1 22
Obs erv ations 22
15
10
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
0.224032
0.063723
1.338655
7.49E-05
0.342302
1.988880
6.350938
J arque-Bera
Probability
24.79708
0.000004
0
0.0
0.2
0.4
0.6
0.8
1.0
1.2
0.00
1.4
0.25
0.50
0.75
1.00
1.25
1.50
C34
10
Series : C26
Sample 1 22
Obs erv ations 22
0.10
8
0.08
Mean
Median
Max imum
Minimum
Std. Dev .
Sk ewnes s
Kurtos is
6
0.06
4
0.04
5.876813
2.559319
57.22410
-4.319857
12.77389
3.219431
13.24802
2
0.02
J arque-Bera
Probability
134.2741
0.000000
0.00
0
20
40
60
10
20
30
40
50
60
C26
59
k1
2006
k2
ZETA
Z-san
Z -new
0,84248
-0,3587
-0,2428
0,12409
-0,0307
0,412362
2006
0,44442
-0,4019
0,41705
-0,0315
-0,001
0,112396
k3
2006
1,21715
1,53156
-0,4425
0,33772
-0,0145
0,648983
k4
2006
5,93255
6,55938
-1,0639
0,50144
0,09946
1,16291
k5
2006
-0,3527
0,92972
-4,708
0,26648
-0,0574
-0,15695
k6
2006
-0,6054
-3,9633
0,19972
-0,2869
-0,0453
-0,1635
k7
2006
1,28084
4,8357
-0,5613
0,4616
0,03798
0,475117
k8
2006
2,49998
5,62805
-0,0936
0,49383
0,07218
0,68315
k9
2006
1,55185
-0,2041
0,5699
0,00231
-0,0017
0,399132
k10
2006
0,1084
-0,3892
-0,3755
0,01441
-0,01
-0,02573
k11
2006
0,69125
-1,4371
1,06269
-0,1364
-0,0039
0,227833
k12
2006
2,06158
6,58235
1,82509
0,5305
0,0886
0,781304
k13
2006
0,40928
-1,7462
-0,0333
-0,0354
-0,0531
-0,14362
k14
2006
1,53989
1,09452
0,58594
0,12872
0,006
0,544569
k15
2006
-3,4727
-10,197
-5,826
-0,6516
-0,1717
-1,47787
k16
2006
13,2749
23,8912
-0,066
3,53756
0,03775
6,806389
k17
2006
0,76195
0,42924
-0,1152
0,0891
-0,0091
0,245797
k18
2006
1,25657
3,39083
-0,8283
0,41974
0,0057
0,627025
k19
2006
2,54163
4,03106
0,03
0,34246
0,05079
0,73001
k20
2006
0,34252
-1,146
-0,3501
-0,0282
-0,0296
0,012998
k21
2006
-1,5823
-5,9937
-2,7051
-0,3554
-0,1066
-0,49231
k22
2006
6,27717
11,2187
0,65171
1,48352
0,04063
3,069893
k23
2006
1,74309
1,33877
-0,3163
0,14785
0,02529
0,291516
k24
2006
0,29004
0,64316
-0,4943
0,11029
-0,0049
0,131799
k25
2006
1,44403
2,79686
0,34055
0,24732
0,02521
0,521537
k26
2006
0,04399
-0,8686
-0,8076
0,04157
-0,0269
0,035096
k27
2006
1,16466
3,10104
0,64915
0,29548
0,0315
0,518402
60
k28
2006
6,18662
9,66575
-0,0608
1,55741
-0,0067
3,116487
k29
2006
0,60225
-0,8071
0,76697
-0,0697
-0,0016
0,188363
5,05831
10,6364
-3,8456
1,76062
-0,0535
2,556805
k30
2006
k31
2006
1,09404
0,15455
0,5243
0,04373
-0,0009
0,36294
k32
2006
-4,3261
-15,676
-4,8309
-0,9998
-0,2624
-1,7008
k33
2006
-0,7745
-3,4221
-1,4633
-0,1719
-0,0613
-0,24486
k34
2006
2,12947
4,00839
0,34319
0,33441
0,06056
0,590178
k35
2006
0,54081
0,97699
-0,019
0,14647
0,00109
0,279721
k36
2006
-2,2473
-6,8806
-4,2311
-0,3913
-0,1271
-0,96964
k37
2006
-0,6282
-1,7246
-2,998
0,00189
-0,0675
-0,20953
k38
2006
-1,2931
-3,1318
-4,6468
-0,0645
-0,1013
-0,50033
k39
2006
-0,0569
-1,6814
-0,1258
-0,1215
-0,0239
-0,07458
k40
2006
0,99418
2,02516
0,56962
0,20153
0,01962
0,439694
k41
2006
-0,0851
-0,4841
-1,5913
0,06093
-0,0274
-0,21252
k42
2006
0,37102
1,68597
-1,5627
0,19955
-0,011
0,100574
k43
2006
2,10735
3,70047
0,63161
0,24013
0,04422
0,673421
k44
2006
-0,2383
-1,3376
-1,57
-0,026
-0,0498
-0,13347
k45
2006
5,8308
13,1496
8,41224
0,71226
0,30382
2,209395
k46
2006
2,73559
1,81337
0,01979
0,14799
0,03358
0,793976
k47
2006
1,45218
2,90141
-0,1846
0,27209
0,02226
0,385463
k48
2006
19,3027
13,2932
-22,308
0,75882
0,15412
5,562022
k49
2006
-0,2265
-2,168
-0,4109
-0,0961
-0,036
-0,03096
k50
2006
0,98749
4,39223
-1,6586
0,44028
0,01763
0,347484
k51
2006
2,67936
3,08849
6,28862
-0,1024
0,02151
2,553894
k52
2006
-0,0021
-0,2788
-2,7516
0,17018
-0,0655
-0,00966
k53
2006
-0,0801
-0,432
-1,3748
0,06753
-0,0281
-0,00697
k54
2006
1,73698
3,49712
2,38615
0,26284
0,06789
0,662285
k55
2006
17,9746
32,4069
-2,4158
4,20529
0,20699
8,599743
61
k56
2006
-0,8183
-4,3018
-1,7086
-0,1885
-0,0587
-0,76826
k57
2006
0,7514
1,84226
-0,089
0,20948
0,01114
0,310503
k58
2006
0,49988
1,64376
-1,7605
0,26535
-0,0158
0,165792
k59
2006
1,11
0,7307
0,29352
0,11862
0,00096
0,385256
k60
2006
26,5623
50,3846
-0,5839
7,1827
0,10754
13,52378
k61
2006
2,87519
3,70718
0,61375
0,23939
0,0713
0,964169
k62
2006
0,72121
1,40843
-0,3217
0,19828
0,00138
0,300504
k63
2006
3,18225
7,48117
2,04384
0,63095
0,08441
1,450071
k64
2006
1,68455
7,26652
-1,0606
0,66755
0,06016
0,56405
k65
2006
2,36584
5,21568
0,07771
0,65267
0,02889
1,076089
k66
2006
7,63429
13,5754
1,03476
1,46722
0,11067
3,555876
k67
2006
-0,8372
-4,4489
-0,8441
-0,2818
-0,0652
-0,3138
k68
2006
-1,7176
-5,6709
-2,7234
-0,3177
-0,0858
-0,94121
k69
2006
-0,5408
-2,4767
-1,1434
-0,1221
-0,0368
-0,40008
k70
2006
-0,0836
-0,9719
-1,5953
0,04336
-0,043
-0,0014
k71
2006
-0,2282
-2,3301
-0,5814
-0,1083
-0,043
-0,02313
k72
2006
-0,7267
-2,6068
-1,1651
-0,1485
-0,0411
-0,32058
k73
2006
2,9798
3,40491
-0,0455
0,33644
0,03839
0,907656
k74
2006
0,10526
-0,3962
-1,2197
0,06367
-0,0326
0,084607
k75
2006
0,90468
2,91991
-0,796
0,32737
0,01372
0,323515
k76
2006
-0,2283
-2,3306
-0,5814
-0,1084
-0,043
-0,02314
k77
2006
25,324
44,7595
-0,4668
6,80958
0,04799
13,07216
k78
2006
0,00393
0,02149
-0,0031
0,00174
0,00021
0,001033
k79
2006
1,08467
2,83686
0,47865
0,26227
0,02908
0,446761
k80
2006
0,70146
2,11112
-0,1425
0,20095
0,01699
0,245548
k81
2006
0,30755
-0,3727
-0,6605
0,02174
-0,0209
-0,04626
k82
2006
0,1011
-0,0446
-0,1232
0,01252
-0,0039
0,032543
k83
2006
6,68
12,8405
0,55286
1,50913
0,08428
3,03885
62
k84
2006
4,19828
6,01149
0,47489
0,68236
0,04103
1,691433
k85
2006
0,25346
0,47019
0,43399
0,04587
0,01286
0,04125
k86
2006
0,95867
0,74645
0,35715
0,06991
0,00562
0,299061
k87
2006
1,94337
5,4677
-0,5084
0,64619
0,04315
0,657583
k88
2005
4,9012
8,50099
7,27765
0,55956
0,1136
2,954135
26
22
63
2,01
0,3-
0,037
26
2,99-
48
2,6
-0,0014
1.81-2.99
1-2,59
1-2,01
0.2-0.3
0,037 -0,0014-
(-0,0697)
1.81-
85-90%
1,1-
1-
90% 85-90%
0,2-
0,037
-0,0697
96,5-100%
63