Forecasting credit portfolio components with a Markov chain model |
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Authors: | G A Timofeeva N A Timofeev |
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Affiliation: | 1. Ural Federal University, Yekaterinburg, Russia 2. Ural State Academy of Railway Transport, Yekaterinburg, Russia
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Abstract: | We consider the forecasting problem for components of a bank’s credit portfolio, in particular, for the share of non-performing
loans. We assume that changes in the portfolio are described by a Markov random process with discrete time and finite number
of states. By the state of a loan we mean that it belongs to a certain group of loans with respect to the existence and duration
of arrears. We assume that the matrix of transitional probabilities is not known exactly, and information about it is collected
during the system’s operation. |
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Keywords: | |
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