MARKOV CHAINS AND CREDIT RISK

被引：0
|
作者：
Vojtekova, Maria [1 ]
机构：
[1] Zilinska Univ, Katedra Kvantitativnych Metod & Hospodarskej Info, Zilina 01026, Slovakia
来源：
ZNALOSTI PRO TRZNI PRAXI 2013: VEREJNA EKONOMIKA - SOUCASNOST A PERSPEKTIVA: VEREJNA EKONOMIKA SOUCASNOST A PERSPEKTIVA. PUBLIC ECONOMY - PRESENT SITUATION AND FUTURE PROSPECTS | 2013年
关键词：
Markov chain; credit risk; bad debts; transition matrix;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Modern financial system is based on loans. The accurate estimation of the allowance for bad debts assumes a special importance because it has a direct and often significant effect on income. The aim of my article is to describe theoretical background and practical usage of algorithm for calculation of probabilities of default loans by using Markov chains.
引用
收藏
页码：151 / 156
页数：6
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