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Modeliranje verjetnosti neplačila po standardih računovodskega poročanja : magistrsko delo
ID Pogačar, Juš (Author), ID Bernik, Janez (Mentor) More about this mentor... This link opens in a new window, ID Zavodnik, Evgenij (Comentor)

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Abstract
Tema magistrskega dela je predstavitev možnosti modeliranja verjetnosti neplačila, kot enega ključnih parametrov za izračun pričakovane kreditne izgube po novih obveznih Mednarodnih standardih računovodskega poročanja (MSRP 9). Novi standardi računovodskega poročanja od bank ne zahtevajo le modeliranja kreditnega tveganja na podlagi tipa stranke in posojila, temveč tudi upoštevanje spremenljivega makroekonomskega okolja v procesu oblikovanja slabitev za kritje pričakovane kreditne izgube. V primerjavi s predhodnimi standardi se je močno povečal tudi obseg slabljenja bančnih naložb, ki posebej ne izvzema nobenega bančnega posla. Delo sestoji iz štirih ključnih poglavij – v prvem so na kratko opisane ključne novosti in zahteve za izračun pričakovane kreditne izgube po novem standardu, v drugem je opisan model za ocenjevanje verjetnosti neplačila za fizične osebe, v tretjem model za ocenjevanje verjetnosti neplačila za mala, srednja in velika podjetja, v četrtem pa so opisani in komentarji rezultati uporabe metodologij v praksi.

Language:Slovenian
Keywords:verjetnost neplačila, statistično modeliranje, MSRP 9, kreditno tveganje, pričakovana kreditna izguba, proces oblikovanja oslabitev.
Work type:Master's thesis/paper
Typology:2.09 - Master's Thesis
Organization:FMF - Faculty of Mathematics and Physics
Year:2018
PID:20.500.12556/RUL-103724 This link opens in a new window
UDC:519.8
COBISS.SI-ID:18447961 This link opens in a new window
Publication date in RUL:23.09.2018
Views:1727
Downloads:475
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Secondary language

Language:English
Title:Modeling probability of default according to financial reporting standards
Abstract:
This thesis comprises two possibilities of modelling the probability of default as one of key parameters for calculation of the expected credit loss according to the new mandatory International financial reporting standards (IFRS 9). New financial reporting standards do not only require modelling of credit risk based on client and loan type, but also taking into account the ever changing macroeconomic environment in the process of provisioning for coverage of the expected credit losses. Not excluding any of bank's investments, IFRS 9 extends the scope for facility provisioning. The thesis consists of four main sections – in the first, standard's key novelties and requirements for calculation of expected credit loss are outlined from a risk management point of view, in the second, the model for estimation of the probabilities of default for individual clients is described and in the third, the model for estimation of the probabilities of default for small, medium and large companies is described. The obtained results and key findings, based on use of methodologies in practice, are presented in the fourth section.

Keywords:probability of default, statistical modeling, IFRS 9, credit risk, expected credit loss, provisioning process.

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