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Forecasting of Bad and Restructured Loans in Bulgarian Bank System through ARIMA Models

Boyan Lomev, Ivan Ivanov () and Magdalena Yankova
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Ivan Ivanov: Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski
Magdalena Yankova: Bulgarian National Bank, Sofia, Bulgaria

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2013, vol. 11, issue 1, 181-189

Abstract: The monitoring of bad and overdue credits in Bulgaria is an important duty of the National Bank. Rapid increase of these types of credits is a potential menace to the stability of the bank system and thus forecasting of their future values is of great importance. In this work we apply classical linear time-series models and Box-Jenkins approach to bad and overdue credits monthly data. Starting with relatively wide set of initial “candidates” we find appropriate model. Three months ahead forecasts are calculated along with 95 % confidence intervals for the forecasts. The obtained results were generally confirmed by the actual values observed.

Keywords: Bad and Overdue Credits in Bulgaria; ARIMA; NModels; Box-Jenkins Approach. (search for similar items in EconPapers)
Date: 2013
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