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2020, vol. 17, br. 2, str. 45-64
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Korelacioni efekat uticaja promene cena baznih i plemenitih metala na faktore kreditnog rizika
The impact of changes in the base and precious metals prices on credit risk factors
Ključne reči: bazni i plemeniti metali; kreditni rizik; stopa difolta; stopa oporavka
Sažetak
Promene u cenama baznih i plemenitih metala na globalnom tržištu metala i njhov uticaj na faktore kreditnog rizika imaju signifikatni uticaj. Veza između ovih faktora bila je zanemarena tokom godina od strane tradicionalnih modela kreditnog rizika. Uključivanje korelacionih koeficijenata u okviru postavljenog modela kreditnog rizika pokazaće jačinu uticaja ovih promena na ostale varijable kreditnog rizika tokom posmatranih godina i uticaj ovih promena na verovatnoću difolta i stopu oporavka. U posmatranom modelu kreditnog rizika uzete su promene cena baznih metala sa Londoske berze metala (London Metal Exchange - LME) za olovo i cink i Londonskog udruženja pleminitih metala (London Bullion Metal Association - LBMA) za zlato i srebro kao plemenitih metala za period od 10 godina. Istraživanje je sprovedeno primenom modela multivarijacine regresione analize, a na bazi statističke ocene modela potvrđen je signifikatni uticaj svih posmatranih nezavisnih varijabli na zavisnu varijablu modela. Konstrukcijom predloženog modela koji ima dokazanu prediktibilnost dat je naučni značaj istraživanju koje uključuje varijable modela koje su različitih tržišta, ali koje imaju signifikatni uticaj na varijable sa finansijskog tržišta.
Abstract
The changes in the prices of base and precious metals on the global metal market have a significant impact on credit risk factors. The link between these factors has been neglected over the years by traditional credit risk models. The inclusion of correlation coefficients within the set credit risk model will show the impact of these changes on other variables of credit risk over the years under review and the impact of these changes on the probability of default and the recovery rate. Changes in base metals prices on the London Metal Exchange (LME) for lead and zinc and the London Bullion Metal Association (LBMA) for gold and silver as precious metals were used in the proposed credit risk model for the period of ten years. The research was done by using the multivariate regression analysis model and based on the statistical model evaluation,the significant impact of all observed independent variables on the dependent variable of the proposed model was proved. The construction of the proposed model with proven predictability gives a scientific significance to the research that includes variables of models from different markets, which have a significant impact on the variables from the financial market.
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