Procena verovatnoće neizvršenja za privredna društva u Republici Srbiji
Sažetak
U ovom radu prikazan je razvoj kvantitativnog PD modela u skladu sa standardima Bazelskog sporazma o kapitalu. Set podataka za modeliranje zasniva se na informacijama iz finansijskih izveštaja iz Republike Srbije. Cilj rada je da se razvije model kreditnog skoringa koji je sposoban da utvrdi procene PD sa visokom prediktivnom sposobnošću na osnovu uzorka privrednih društava. Modeliranje se zasniva na podacima iz godišnjih finansijskih izveštaja privrednih društava u Srbiji iz perioda od 5 godina. Pristup pondera izvesnosti (WOE) je primenjen kako bi se kvantitativno transformisala i pripremila finansijska racija. Korelaciona analiza je iskorišćena za skraćivanje dugačke liste promenjivih i za isključivanje visoko međuzavisnih promenjivih iz razvojnog i validacioniog seta podataka. U skladu sa najboljom bankarskom praksom i akademskom literaturom konačni model je dobijen korišćenjem prilagođene stepenaste logističke regresije. Konačno predložen model i njegovi konstitutivni elementi u vidu finansijskih racija obrazloženi su i upoređeni sa primerima iz relevantne akademske literature.
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