One of the most mentioned credit risk parameters in banking sector is loss given default (LGD). The regulatory framework allows to use own LGD estimation procedures after approval. The classification and regression trees are appropriate and flexible in this context and they offer some advantages comparing to the traditional approaches such as linear regression model. This work includes a theoretical background on tree based methods. In the last section, loss given default from debit accounts is estimated using the random forests which show the best performance in this case.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:193317 |
| Date | January 2014 |
| Creators | Jacina, Viktor |
| Contributors | Dlouhá, Zuzana, Formánek, Tomáš |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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