03049ntm a22005177i 4500 000714105 CZ-PrVSE 20240608092444.0 m d cr n|||||||||| 240608s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Hendrichová, Nela ISIS:140583 dis Credit score model via GAS model and logistic regression eng Credit score model via GAS model and logistic regression / Nela Hendrichová 2024 ?? stran : digital, PDF soubor Vedoucí práce: Ondřej Sokol Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 This thesis examines and compares the effectiveness of credit scoring models and intro- duces a new one with time-varying parameters, the so-called GAS-logistic regression model. The model integrates logistic regression, the traditional approach for predicting the probability of default in financial institutions, with dynamic features of Generalized Autoregressive Score (GAS) models. The objective is to find out whether integrating GAS models enhances the prediction of risk over time. By conducting both, simulations and empirical analysis on real-world U.S. mortgage data, the performance of the GAS-logistic model is analyzed and benchmarked against that of the standard logistic regression model. The findings suggest that integrating GAS models provides more nuanced predictions of risk over time. However, given the optimization of nonlinear functions through gradient algorithms, results vary with different initial values. That suggests that further research could be conducted to refine this model. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Credit Scoring Time-Varying Parameter model Observation-driven model Generalized Autoregressive Score (GAS) model Logistic regression Sokol, Ondřej ISIS:85564 ths Tomanová, Petra ISIS:85567 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/86409/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/86409 Hlavní práce https://insis.vse.cz/zp/86409/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/86409/posudek/oponent/82308 Oponentura https://insis.vse.cz/zp/86409/podrobnosti dc:identifier NEPOSILAT VSKP vse86409 240607 86409