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Bc. Lucie Vernerová

Master's thesis

Matematické modely měření kreditního rizika bank

Mathematical models for measuring credit risk
Abstract:
The thesis is focused on the construction of models for measuring credit risk. The main objective is to desribe a principle of estimation probability of default and explain credit scoring with using logistic regression. Parameters estimation and interpretation, their significance testing, comparison of quality models and discriminatory power are presented not only from theoretical view. Discussed methods …more
Abstract:
Diplomová práca je zameraná na konštrukciu modelov merania kreditného rizika bánk. Hlavným cieľom je popísať princíp odhadu pravdepodobnosti zlyhania a vysvetliť tvorbu skóringových modelov s využitím logistickej regresie. Odhad a interpretácia parametrov, testovanie ich významnosti, porovnávanie kvality a diskriminačnej sily modelov sú predstavené nie len na teoretickej úrovni. Diskutované metódy …more
 

Keywords

kreditné riziko pravdepodobnosť zlyhania Probability of Default logistická regresia skóringové modely Mertonov model
 
Language used: Slovak
Date on which the thesis was submitted / produced: 21. 5. 2009
Identifier: https://is.muni.cz/th/eg565/

Thesis defence

  • Date of defence: 12. 6. 2009
  • Supervisor: doc. RNDr. Martin Kolář, Ph.D.
  • Reader: Ing. Daniel Němec, Ph.D.

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakulta
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Masaryk University

Faculty of Science

Master programme / field:
Applied Mathematics / Mathematics - Economics

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