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Bankruptcy prediction model
Kratochvilová, Monika ; Bartoš, Vojtěch (referee) ; Karas, Michal (advisor)
This diploma thesis is focused on the evaluation of the efficiency of selected bankruptcy models in the Czech Republic. In the theoretical part the basic terminology and methodology of bankruptcy models creation are introduced. In addition are mentioned, model constraints, an overview of the indicators used, and information about model accuracy. This part also presents analyzed models and methods of assessing the reliability of bankruptcy models. In the practical part, the reliability of selected bankruptcy models is evaluated and a new bankruptcy model is built.
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Performance Ranking of Czech Credit Scoring Models
Smolár, Peter ; Havránek, Tomáš (advisor) ; Jakubík, Petr (referee)
This thesis provides a comprehensive ranking of 11 Czech statistical and 4 foreign credit scoring models. The ranking is based on the predictive performance of individual models, as measured by the area under curve, evaluated on a randomly sampled set of 250 training and validation samples. After establishing a baseline comparison, 3 avenues of estimation setup optimization are explored, namely missing value treatment, estimation method and the use of additional non-financial variables. After being optimized, the models are once again ranked based on their predictive performance. Statistical inference is drawn using ANOVA and the Friedman test, along with the corresponding Tukey and Nemeyi pos-hoc tests. In their baseline form, the Czech credit scoring models are found to be outperformed by the foreign benchmark model. Treating the missing values by OLS imputation and estimating the models by probit, significantly is found to significantly improve their predictive performance. In their optimized form, the difference in predictive performance between Czech and foreign credit scoring model is found to be only marginal. JEL Classification G28, G32, G33, G38 Keywords credit scoring, multiple discriminant analysis, logit analysis, probit analysis Author's e-mail 71247263@fsv.cuni.cz Supervisor's e-mail...
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Bankruptcy prediction model
Kratochvilová, Monika ; Bartoš, Vojtěch (referee) ; Karas, Michal (advisor)
This diploma thesis is focused on the evaluation of the efficiency of selected bankruptcy models in the Czech Republic. In the theoretical part the basic terminology and methodology of bankruptcy models creation are introduced. In addition are mentioned, model constraints, an overview of the indicators used, and information about model accuracy. This part also presents analyzed models and methods of assessing the reliability of bankruptcy models. In the practical part, the reliability of selected bankruptcy models is evaluated and a new bankruptcy model is built.
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