This thesis is focused on the problems of the prediction of financial situation of non-financial companies in the Czech Republic and the European Union with shares publically traded on the stock exchange. It is based on the original accounting and structural models of credit risk which enable to enumerate the probability of default. The application of Merton, Altman and Ohlson model in their basic theoretical form for the determination of the probability of default or bankruptcy is dealt with in detail. Modern multi-dimensional econometric and simulation approaches enabled to extend the original Merton model, adding the theory of multi-dimensional D-Vine copulas which project the dependency between the development on the financial market into the structure of dependency of company assets of companies, which serve as a significant indicator for the calculation of the probability of default. Next steps proceed from the creation of prediction models based on the SVM method and decision trees for the purpose of classification of company financial difficulties which are represented by the debt index or liquidity index. Different forms and numbers of input variables are used for this purpose: accounting, market and combined data together with the derived probabilities of default, or more precisely of financial distress.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:425113 |
| Date | January 2016 |
| Creators | Klepáč, Václav |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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