The devil in the details: Dynamic Prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling

Viani B. Djeundje, Jonathan Crook and Galina Andreeva

European Journal of Operational Research, 2025, vol. 327, issue 2, 703-715

Abstract: In typical loan portfolios such as mortgages and credit cards, many accounts often experience different stages of delinquency before eventually recovering, fully repaying their balance, or defaulting. From the lender perspective, these events, coupled with the state of the economy, can affect cash-flow and profitability significantly.

Keywords: OR in Banking; Loans; Multi-state modelling; Forecasting; Profit modelling (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221725005338
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:327:y:2025:i:2:p:703-715

DOI: 10.1016/j.ejor.2025.07.008

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().