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Last update: doc. RNDr. Martin Branda, Ph.D. (09.12.2020)
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Last update: RNDr. Jitka Zichová, Dr. (18.05.2022)
The objective of the lecture is to give an overview of the methods connected with credit risk management. The lecture will make students acquainted with the current trends in credit risk management. |
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Last update: doc. RNDr. Ing. Miloš Kopa, Ph.D. (09.12.2020)
[1] Hosmer, David W. and Stanley Lemeshow, Applied Logistic Regression, 2nd ed., New York; Chichester, Wiley, 2000, ISBN 0-471-35632-8.
[2] Chen T. and Guestrin, C.: XGBoost: A Scalable Tree Boosting System, https://arxiv.org/abs/1603.02754 |
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Last update: RNDr. Jitka Zichová, Dr. (18.05.2022)
Lecture. |
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Last update: doc. RNDr. Ing. Miloš Kopa, Ph.D. (09.12.2020)
1) Most popular statistical models for credit risk scoring - logistic regression, decision trees, gradient boosting method.
2) Procedures how to use scoring models in practice and how to estimate risk of single loan and whole portfolios. Emphasis will be put on the link between theoretical knowledge and procedures used in banking practice. |