Estimation of Loan Portfolio Risk on the Basis of Markov Chain Model
نویسندگان
چکیده
A change of shares of credits portfolio is described by Markov chain with discrete time. A credit state is determined on as an accessory to some group of credits depending on presence of indebtedness and its terms. We use a model with discrete time and fix the system state through identical time intervals once a month. It is obvious that the matrix of transitive probabilities is known incompletely. Various approaches to the matrix estimation are studied and methods of forecast the portfolio risk are proposed. The portfolio risk is set as a share of problematic loans. We propose a method to calculate necessary reserves on the base of the considered model.
منابع مشابه
Financial Risk Modeling with Markova Chain
Investors use different approaches to select optimal portfolio. so, Optimal investment choices according to return can be interpreted in different models. The traditional approach to allocate portfolio selection called a mean - variance explains. Another approach is Markov chain. Markov chain is a random process without memory. This means that the conditional probability distribution of the nex...
متن کاملIntroducing Busy Customer Portfolio Using Hidden Markov Model
Due to the effective role of Markov models in customer relationship management (CRM), there is a lack of comprehensive literature review which contains all related literatures. In this paper the focus is on academic databases to find all the articles that had been published in 2011 and earlier. One hundred articles were identified and reviewed to find direct relevance for applying Markov models...
متن کاملThe Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis
The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...
متن کاملInference of Markov Chain: AReview on Model Comparison, Bayesian Estimation and Rate of Entropy
This article has no abstract.
متن کاملارزیابی ریسک اعتباری شرکتهای وام گیرنده از بانک با استفاده از تحلیل سلسله مراتبی فازی و شبکه عصبی ترکیبی درجه بالا
Banks as financial institutions must estimate the credit risk of their debtors. This is the basis of pricing a loan, determining appropriate interest rates and determining the mortgage required to each borrower. Since the continuity of bank activities largely depends on the amount of credit losses in a particular period, banks should consider the credit quality of their loan portfolio as a co...
متن کامل