2012
DOI: 10.1134/s0005117912040042
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Forecasting credit portfolio components with a Markov chain model

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Cited by 8 publications
(2 citation statements)
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“…In this section, some basic knowledge will be introduced including visibility graph [71], transition probability [66], and Markov chain [72].…”
Section: Preliminariesmentioning
confidence: 99%
“…In this section, some basic knowledge will be introduced including visibility graph [71], transition probability [66], and Markov chain [72].…”
Section: Preliminariesmentioning
confidence: 99%
“…• random changes in the financial condition of firms (within the classification: from AAA -the best group to D -default group); • the behavior of an individual borrower in consumer lending [6]. The probability of default, which in many studies is assumed to be equal to the share of problem (overdue) loans, is usually chosen as a loan portfolio risk assessment criteria, In this case, loans are grouped by the existence and terms of debt, probabilities of their transition from one group to another (migration coefficients) are determined, a change in the portfolio structure is modelled, which makes it possible to predict its risk and profitability.…”
Section: Introductionmentioning
confidence: 99%