IRB bonitetni model za slovensko prebivalstvo

magistrsko delo

Jasmina Kolar (Avtor), Drago Bokal (Mentor)

Povzetek

V Sloveniji je kredit najbolj razširjen financni produkt kreditiranja prebivalstva. Ker pa je banka ob izdaji kredita izpostavljena dolocenemu tveganju financne izgube, je pomembno, da ima zgrajen ucinkovit sistem upravljanja s kreditnim tveganjem. Ucinkovito pomoc pri spremljanju kreditov in celotnega portfelja omogoca IRB pristop. V magistrskem delu z uporabo IRB pristopa razvijemo nov bonitetni model za ocenjevanje kreditnega tveganja, prilagojenega slovenskemu prebivalstvu. Pri tem uporabimo zgodovinske podatke banke X, na podlagi katerih razvijemo model, ki napoveduje, ali je nek komitent zmožen odplacati kredit (ostane placnik) ali ne (postane neplacnik). Ker gre za delo iz financno-matematicnega podrocja, je razdeljeno na tri dele. V prvem delu je na kratko predstavljen financni oz. bancni vidik dela. Drugi del predstavlja matematicni vidik ter jedro magistrskega dela, saj v njem razvijem bonitetni model za slovensko prebivalstvo. V tretjem delu je predstavljen konkreten primer uporabe razvitega bonitetnega modela.

Ključne besede

IRB;kreditno tveganje;bonitetni model;modeliranje;ROC analiza;odločitveno drevo;binarna logistična regresija;magistrska dela;

Podatki

Jezik:	Slovenski jezik
Leto izida:	2014
Tipologija:	2.09 - Magistrsko delo
Organizacija:	UM FNM - Fakulteta za naravoslovje in matematiko
Založnik:	[J. Kolar]
UDK:	330.4(043.2)
COBISS:	20925192
Št. ogledov:	1705
Št. prenosov:	343
Ocena:	0 (0 glasov)
Metapodatki:

Ostali podatki

Sekundarni jezik:	Angleški jezik
Sekundarni naslov:	IRB credit rating model for the Slovenian population
Sekundarni povzetek:	Credit is the most widely used financial product of retail lending in Slovenia. Since the bank is exposed to a certain risk of financial loss, it is important to have an efficient system of credit risk management. The IRB approach is one such toll recommended by Basel regulations, which provides effective assistance in monitoring of loans and the entire bank credit portfolio. In this thesis, we develop a new credit rating model for evaluating credit risk that is adjusted to the Slovenian population by using the IRB approach. By using historical data of the Bank X, we develop a model that predicts whether a customer is able to repay the loan (he remains non-defaulted) or is unable to repay the loan (he defaults). Since the thesis refers to a financial-mathematical field, it is divided into three parts. The first part is a brief overview of the financial ie. banking aspect of the thesis. The second part presents the mathematical aspect and the core of the master thesis, because it is the part where we develop the credit rating model for the Slovenian population. Finally, the third part presents a concrete example of the application of the developed credit rating model.
Sekundarne ključne besede:	IRB;credit risk;credit rating;modeling;ROC analysis;decision tree;binary logistic regression;master theses;
URN:	URN:SI:UM:
Vrsta dela (COBISS):	Magistrsko delo/naloga
Komentar na gradivo:	Univ. v Mariboru, Fak. za naravoslovje in matematiko, Oddelek za matematiko in računalništvo
Strani:	87 f.
ID:	8730930