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Avtomatika i Telemekhanika, 2012, Issue 4, Pages 47–65 (Mi at3789)  
This article is cited in 12 scientific papers (total in 12 papers)

Applications of Mathematical Programming

Forecasting credit portfolio components with a Markov chain model

G. A. Timofeevaa, N. A. Timofeevb

a Ural Federal University, Yekaterinburg, Russia
b Urals State University of Railway Transport, Yekaterinburg, Russia
Full-text PDF (269 kB) Citations (12)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 06.06.2011
English version:
Automation and Remote Control, 2012, Volume 73, Issue 4, Pages 637–651
DOI: https://doi.org/10.1134/S0005117912040042
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: G. A. Timofeeva, N. A. Timofeev, “Forecasting credit portfolio components with a Markov chain model”, Avtomat. i Telemekh., 2012, no. 4, 47–65; Autom. Remote Control, 73:4 (2012), 637–651
Citation in format AMSBIB
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\pages 637--651
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    • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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