ПОТОКИ ПЛАТЕЖЕЙ КРЕДИТНОГО ПОРТФЕЛЯ В УСЛОВИЯХ НЕПОЛНОЙ ИНФОРМАЦИИ

Translated title of the contribution: CASH FLOWS OF THE LOAN PORTFOLIO UNDER CONDITION OF UNCERTAINTY

Research output: Contribution to journalArticle

Abstract

A problem of the cash flows evaluation for the loan portfolio is considered in the paper. Dynamics of the portfolio is described on the base of Markov chain model constructed under incomplete information on the transition probabilities. Net present values of the loan portfolio are calculated on the base of statistical data. The simulation modeling is used to calculate the unknown probabilities.
Translated title of the contributionCASH FLOWS OF THE LOAN PORTFOLIO UNDER CONDITION OF UNCERTAINTY
Original languageRussian
Pages (from-to)106-111
Number of pages6
JournalВестник УрФУ. Серия: Экономика и управление
Issue number2
Publication statusPublished - 2013

GRNTI

  • 06.00.00 ECONOMY AND ECONOMIC SCIENCES

Level of Research Output

  • VAK List

Fingerprint Dive into the research topics of 'CASH FLOWS OF THE LOAN PORTFOLIO UNDER CONDITION OF UNCERTAINTY'. Together they form a unique fingerprint.

Cite this