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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Binning numerical variables in credit risk models
 Mattanelli, Matyáš ; Baruník, Jozef (advisor) ; Teplý, Petr (referee)
This thesis investigates the effect of binning numerical variables on the per- formance of credit risk models. The differences are evaluated utilizing five publicly available data sets, six evaluation metrics, and a rigorous statistical test. The results suggest that the binning transformation has a positive and significant effect on the performance of logistic regression, feedforward artifi- cial neural network, and the Naïve Bayes classifier. The most affected aspect of model performance appears to be its ability to differentiate between eligible and ineligible customers. The obtained evidence is particularly pronounced for moderately-sized data sets. In addition, the findings are robust to the inclusion of missing values, the elimination of outliers, and the exclusion of categorical features. No significant positive effect of the binning transformation was found for the decision tree algorithm and the Random Forest model.
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The impact of economic freedom and finance accessibility on new firm formation
 Mattanelli, Matyáš ; Mareš, Jan (advisor) ; Novák, Jiří (referee)
This thesis investigates the effects of economic freedom and finance accessibil- ity on new firm formation. The former is proxied by the Index of Economic Freedom and its subindices published by The Heritage Foundation, while the latter is represented by four characteristics of the country's financial system re- trieved from the World Bank's Global Financial Development Database. The dependent variable is proxied by the measure of new business density obtained from the World Bank's Entrepreneurship Survey and database. As a result, the data set employed in this thesis is an unbalanced panel consisting of 136 countries observed between the years 2006 and 2017. Given the inclusion of past realizations of the dependent variable, the models are estimated by the dynamic panel estimator System GMM. The variables found to affect new firm formation positively and with a statistical significance are economic freedom, financial freedom, and rule of law. The last variable captures the degree of pro- tection of property rights and the country's level of corruption. On the other hand, the findings suggest that countries with less stable banking sectors enjoy greater new firm formation rates. No significant relationship has been found between financial access and new firm formation.
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