A Markov Chain Model for the Cure Rate of Non-Performing Loans

Vilislav Boutchaktchiev

Papers from arXiv.org

Abstract: A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is efficient in terms of data manipulation costs which makes it accessible even to smaller financial institutions. In addition, several other applications to portfolio optimization are suggested.

Date: 2018-05, Revised 2018-06
New Economics Papers: this item is included in nep-rmg
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