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Exponenciální modely náhodných grafů: modelování relačních mechanismů na případu sítě organizací zapojených v českém uhelném sektoru

100%

Diviák T., Ocelík P.

Sociologický časopis. Czech Sociological Review

2024

vol. 60

issue 1

7-35

This study provides the first comprehensive introduction to exponential random graph models (ERGM) in the Czech academic literature. In it we apply ERGM to a network of 68 organisations involved in the Czech coal policy subsystem. First, we summarise the major limitations of the statistical modelling of network data arising from the interdependencies among observations and explain principled solutions to them provided by ERGM. Next, we discuss ERGM’s metatheoretical assumptions and their embeddedness within the broader context of social science research. We then introduce three types of relational mechanisms (endogenous, individual, and dyadic) operationalised as specific configurations, which we illustrate through the empirical example of an expert information network. Following a descriptive analysis we apply ERGM, breaking it down into three main steps: simulation, estimation, and estimation assessment. We provide a detailed interpretation of the model’s development and results, along with recommendations for building a model and solutions to convergence failure problems. One important finding is that one predictor of the exchange of expert information is ideological homophily, which reduces the potential of expertise to seek compromise solutions. We close with a discussion of the results and ERGM extensions to apply to more complex types of network data such as bipartite and multiplex networks and valued and longitudinal data.

Statistical Models for Corporate Credit Risk Assessment – Rating Models

72%

Ptak-Chmielewska A.

Acta Universitatis Lodziensis. Folia Oeconomica

2016

vol. 3

issue 322

Dostrzegając słabość modeli opartych na funkcji dyskryminacyjnej Z-score zaproponowanej przez Altmana w warunkach gospodarki polskiej podjęto w latach 90. próby dostosowania tych modeli do realiów gospodarki post-komunistycznej. Początkowe zainteresowanie modelami wielowymiarowej analizy dyskryminacyjnej poszerzono o modele regresji logistycznej a później również o sieci neuronowe i drzewa decyzyjne. W ostatnich latach podjęto również próby zastosowania modeli analizy historii zdarzeń. Modele ratingowe oparte na wypracowanych modelach upadłości stanowią kluczowy element w zarządzaniu ryzykiem kredytowym. W artykule podjęto próbę krytycznej oceny stosowanych metod statystycznych oraz wskazano na zalety i wady różnych podejść do budowy modeli. Przeprowadzono porównawczą analizę empiryczną na próbie przedsiębiorstw. Wskazano na możliwość wykorzystania modeli statystycznych do oceny ryzyka kredytowego przedsiębiorstw (modele ratingowe).

Taking into consideration the weakness of the models based on discrimination function (Z-score) proposed by Altman within the conditions of polish economy some attempts were taken in the 90s to adjust these models to the reality of post-communist economy. The initial interest in the models of multivariate discriminant analysis was extended by logistic regression models and then also by neural networks and decision trees. In the recent years some attempts were also taken to apply models of the event history analysis. Rating models based on developed bankruptcy risk models are basic element in credit risk management. Paper focuses on the critical assessment of statistical methods applied and points out the advantages and disadvantages of various approaches toward the estimation of models. Empirical comparative analysis were conducted based on the sample of enterprises. The possible application of statistical models in credit risk assessment of enterprises (rating models) was pointed out.

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1 Acta Universitatis Lodziensis. Folia Oeconomica

1 Sociologický časopis. Czech Sociological Review

1 Diviák T.

1 Ocelík P.

1 Ptak-Chmielewska A.

1 2024

1 2016

Search results

Exponenciální modely náhodných grafů: modelování relačních mechanismů na případu sítě organizací zapojených v českém uhelném sektoru

Statistical Models for Corporate Credit Risk Assessment – Rating Models