Confidence Level of Income Valuation of Banks on the Basis of Regression Analysis

Spolehlivost výnosového oceňování bank na bázi regresní analýzy

Milan Hrdý

Oceňování, 2018, vol. 11, issue 1, 18-32

Abstract: The aim of this paper is to analyze the accuracy of the estimation of the plan of net interest incomes and fees incomes of the bank calculated only by the estimation of the basis of the regression analysis with the dependent variable such as for example GDP, PRIBOR, the changes of the exchange rates etc. for the first and second year of the financial plan of the valuating commercial bank. This accuracy is stated as the percentage deviation from the real value stated in accounting statements of the valuing bank. The question is what accuracy can be acceptable. The valuation practice considered as the relatively good estimation the deviation of 10 % and as the maximum accepted deviation of 20 % from the reality. This deviation average has only the estimation of the net interest income for the first year of the plan. The accuracy of the estimation depends on the accuracy of selected valuations where three of them fulfill the accepted deviation of 20 %. The more accurate information can be obtained by the next researches if data for next years will be available.

Keywords: Valuation; Banks; Regression Analysis; Accuracy; Back Testing; Oceňování; Banky; Regresní analýza; Přesnost; Zpětné testování (search for similar items in EconPapers)
JEL-codes: G20 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.18267/j.ocenovani.206

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