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Nové metody ve schvalování úvěrů
Rychnovský, Michal ; Arlt, Josef (advisor) ; Pecáková, Iva (referee) ; Veselý, Petr (referee)
This thesis contributes to the field of applied statistics and financial modeling by analyzing mathematical models used in retail credit underwriting processes. Specifically, it has three goals. First, the thesis aims to challenge the performance criteria used by established statistical approaches and propose focusing on predictive power instead. Secondly, it compares the analytical leverage of the established and other suggested methods according to the newly proposed criteria. Third, the thesis seeks to develop and specify a new comprehensive profitability-based underwriting model and critically reflect on its strengths and weaknesses. In the first chapter I look into the area of probability of default modeling and argue for comparing the predictive power of the models in time rather than focusing on the random testing sample only, as typically suggested in the scholarly literature. For this purpose I use the concept of survival analysis and the Cox model in particular, and apply it to a real Czech banking data sample alongside the commonly used logistic regression model to compare the results using the Gini coefficient and lift characteristics. The Cox model performs comparably on the randomly chosen validation sample and clearly outperforms the logistic regression approach in the predictive power. In the second chapter, in the area of loss given default modeling I introduce two Cox-based models, and compare their predictive power with the standard approaches using the linear and logistic regression on a real data sample. Based on the modified coefficient of determination, the Cox model shows better predictions. Third chapter focuses on estimating the expected profit as an alternative to the risk estimation itself and building on the probability of default and loss given default models, I construct a comprehensive profitability model for fix-term retail loans underwriting. The model also incorporates various related risk-adjusted revenues and costs, allowing more precise results. Moreover, I propose four measures of profitability, including the risk-adjusted expected internal rate of return and return on equity and simulate the impact of the model on each of the measures. Finally, I discuss some weaknesses of these approaches and solve the problem of finding default or fraud concentrations in the portfolio. For this purpose, I introduce a new statistical measure based on a pre-defined expert critical default rate and compare the GUHA method with the classification tree method on a real data sample. While drawing on the comparison of different methods, this work contributes to the debates about survival analysis models used in financial modeling and profitability models used in credit underwriting.

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