03270ntm a22005537i 4500 000682435 CZ-PrVSE 20210213101055.0 m d cr n|||||||||| 210213s2021 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Danilov, Evgenii ISIS:113895 dis Porovnání metod rekalibrace skóringového modelu kreditního rizika eng Comparison of credit risk scoring model recalibration approaches / Evgenii Danilov 2021 ?? stran : digital, PDF soubor Vedoucí práce: Milan Fičura Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2021 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2021 The main objective of this thesis is to compare effectiveness of the chosen methods of credit risk scoring model (re)calibration and give recommendation on what approach to use. For the comparison, the following methods are selected: intercept shift, intercept and slope shift, their versions extended by the predictions of future portfolio log odds. To fulfill the aim of the work, the thesis is divided into six parts. The first chapter describes prior work in the field of scoring models calibration. The second chapter presents the steps that are taken to construct a probability model and transform it into a scorecard. The third chapter introduces the recalibration approaches that will be employed in the practical part. In the fourth chapter the credit risk model is developed and then converted into the scorecard. In the fifth chapter the recalibration approaches are applied and tested. In the final chapter the conclusions are made. The model of interest is applicable for a portfolio of private clients and is behavioral in nature. The main contribution of this thesis is recommendation on what (re)calibration methods to use in a regular behavioral scoring. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas behavioral scoring probability model scorecard recalibration approach BESC calibration private clients model IRB definition of default Fičura, Milan vse2015859798 ths Panoš, Jiří ISIS:143344 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/67644/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/67644 Hlavní práce https://insis.vse.cz/zp/67644/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/67644/posudek/oponent/69328 Oponentura https://insis.vse.cz/zp/67644/podrobnosti dc:identifier NEPOSILAT VSKP vse67644 210212 67644