20.500.12556/DKUM-46722 IRB bonitetni model za slovensko prebivalstvo IRB credit rating model for the Slovenian population V Sloveniji je kredit najbolj razširjen financni produkt kreditiranja prebivalstva. Ker pa je banka ob izdaji kredita izpostavljena dolocenemu tveganju financne izgube, je pomembno, da ima zgrajen ucinkovit sistem upravljanja s kreditnim tveganjem. Ucinkovito pomoc pri spremljanju kreditov in celotnega portfelja omogoca IRB pristop. V magistrskem delu z uporabo IRB pristopa razvijemo nov bonitetni model za ocenjevanje kreditnega tveganja, prilagojenega slovenskemu prebivalstvu. Pri tem uporabimo zgodovinske podatke banke X, na podlagi katerih razvijemo model, ki napoveduje, ali je nek komitent zmožen odplacati kredit (ostane placnik) ali ne (postane neplacnik). Ker gre za delo iz financno-matematicnega podrocja, je razdeljeno na tri dele. V prvem delu je na kratko predstavljen financni oz. bancni vidik dela. Drugi del predstavlja matematicni vidik ter jedro magistrskega dela, saj v njem razvijem bonitetni model za slovensko prebivalstvo. V tretjem delu je predstavljen konkreten primer uporabe razvitega bonitetnega modela. Credit is the most widely used financial product of retail lending in Slovenia. Since the bank is exposed to a certain risk of financial loss, it is important to have an efficient system of credit risk management. The IRB approach is one such toll recommended by Basel regulations, which provides effective assistance in monitoring of loans and the entire bank credit portfolio. In this thesis, we develop a new credit rating model for evaluating credit risk that is adjusted to the Slovenian population by using the IRB approach. By using historical data of the Bank X, we develop a model that predicts whether a customer is able to repay the loan (he remains non-defaulted) or is unable to repay the loan (he defaults). Since the thesis refers to a financial-mathematical field, it is divided into three parts. The first part is a brief overview of the financial ie. banking aspect of the thesis. The second part presents the mathematical aspect and the core of the master thesis, because it is the part where we develop the credit rating model for the Slovenian population. Finally, the third part presents a concrete example of the application of the developed credit rating model. IRB kreditno tveganje bonitetni model modeliranje ROC analiza odlocitveno drevo binarna logisticna regresija IRB credit risk credit rating modeling ROC analysis decision tree binary logistic regression true true false [J. Kolar] Slovenski jezik Angleški jezik Magistrsko delo/naloga 2014-10-27 19:38:55 2014-12-09 14:37:56 2022-05-18 03:07:54 2021-05-05 03:37:38 2014 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 330.4(043.2) 20925192 URN:SI:UM:DK:6ZMEWPRO MAG_Kolar_Jasmina_2014.pdf MAG_Kolar_Jasmina_2014.pdf 1 0212B19D073ACDA321734CCBD1F9D27C 259913cf70a47e0157236e212c00c31646642ab3b7f41b2b87bc80db9db62492 65de094b-7c0b-11eb-bb7a-00155d0001ca https://dk.um.si/Dokument.php?lang=slv&id=68594 Fakulteta za naravoslovje in matematiko 0 0 0