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2.


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1.
1.1 :

.
.
1.1.1

,

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,
.

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.
.

.
. :
1.
2.
3.
4.
.
.

.
, .

,
.
3 .
a1
1/1 .
. +1-,
-1- .
1.1


. .

.
. .

. ,
.
1.2

.
. .
1.3

.
.
.
.
.
.

1.4
.

.
.
1.
. .
2. .
3. .
.
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 = (P1i - P), p 2i P2i - P , p3i = (P3i - P) ... pni = (Pni - P)


p1i p 2i p3i p ni 0 . xi = (X i - X ) .

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

P2i P3i Pni

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)

3 P1i P2i P3i 1


.

ln P2i / P1i = 21+ 21 X i

ln P3i / P1i = 31+ 31 X i


ln P / P = + X
3i
2i
32
32
i

(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

.
.
.

1-10 , 11-18 , 19-35 .



.
. :
Dependent Variable: DDD
Method: ML - Binary Probit
Date: 04/05/08 Time: 11:07
Sample: 1 22
Included observations: 22
Convergence not achieved after 1 iterations
Covariance matrix computed using second derivatives
Variable

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

Mean dependent var


S.E. of regression
Sum squared resid
Log likelihood
Avg. log likelihood

0.636364
0.441021
2.333995
-7.144004
-0.324727

Obs with Dep=0


Obs with Dep=1

8
14

S.D. dependent var


Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

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

Mean dependent var


S.E. of regression
Sum squared resid
Log likelihood
Avg. log likelihood

0.636364
0.400122
2.241366
-6.477801
-0.294446

Obs with Dep=0


Obs with Dep=1

8
14

S.D. dependent var


Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

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

S.D. dependent var


Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Total obs

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

Mean dependent var


S.E. of regression
Sum squared resid
Log likelihood
Avg. log likelihood
Obs with Dep=0
Obs with Dep=1

0.636364
0.360832
1.952996
-6.039582
-0.274526
8
14

S.D. dependent var


Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Total obs

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

Mean dependent var


S.E. of regression
Sum squared resid
Log likelihood
Avg. log likelihood

0.636364
0.392478
2.772701
-8.476755
-0.385307

Obs with Dep=0


Obs with Dep=1

8
14

S.D. dependent var


Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.

0.492366
1.134250
1.332622
1.180981

Total obs

22

10 0,0686%-
, 26 0,0367%- ,
33 , 0,0397%- , 35
0,055%-
. :

Y1 0.323078 * C10 0.339643 * C 26 2.674223 * C33 1.158786 * C35


Std. Error

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

Undefault prob Default prob


. : K22 22-
0,80% , K13 13-
0,846% .
.
2:
,


.

.
.
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

Kernel Density (Normal, h = 0.2588)

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


. .


.
,
.
.

(Assimetric information) (adverse selection)


.
. :
, .
: .
.
.
?,
?
.
. . :
1. : ,
.
2. , : , ,
.
3.

:
.
.

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

Mean dependent var

0.715909

S.D. dependent var

0.453565

S.E. of regression

0.077826

Akaike info criterion

0.154066

Sum squared resid

0.502715

Schwarz criterion

0.294823

Hannan-Quinn criter.

0.210773

Log likelihood

-1.778885

Avg. log likelihood

-0.020215

Obs with Dep=0

25

Obs with Dep=1

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

Mean dependent var

0.715909

S.D. dependent var

0.453565

S.E. of regression

0.079447

Akaike info criterion

0.153191

Sum squared resid

0.523878

Schwarz criterion

0.293949

Hannan-Quinn criter.

0.209899

Log likelihood

-1.740426

Avg. log likelihood

-0.019778

Obs with Dep=0

25

Obs with Dep=1

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 -0,0014- (-0,0697)

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

0.473182 -1.896395 -3.922443

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

-2.090000 -46.13379 -99.37210

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

-2.744058 -4.280500 -4.179479

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

0.117320 -46.54489 -0.202042

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

Kernel Dens ity (Normal, h = 0.1579)


1.0

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

Ker nel Dens ity ( Nor mal, h = 0.4050)


10

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

Ker nel Dens ity (C13


Nor mal, h = 0.1057)

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

Kernel Dens ity (Normal, h = 0.0245)


C16

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

Ker nel D ens ity ( N or mal, h = 9.4171)

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

**

-90 -80 -70 -60 -50 -40 -30 -20 -10

10

C 33

Kernel Density (Normal, h = 0.0756)

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

Ker nel D ens ity ( N or mal, h = 2.3473)

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

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