Forecasting the return of the loan portfolio on the basis of Markov model

DOI10.14529/MMP170305MaRDI QIDQ4600364zbMATH OpenOpenAlexFDO

Authors G. A. Timofeeva

Publication date 8 January 2018

Published in Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/vyuru386

zbMATH Keywords

forecastingloan portfolioMarkov chainpayment flows

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

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• Banking loan portfolio equilibrium mix: a Markov chain approach
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