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 contribution||CASH FLOWS OF THE LOAN PORTFOLIO UNDER CONDITION OF UNCERTAINTY|
|Number of pages||6|
|Journal||Вестник УрФУ. Серия: Экономика и управление|
|Publication status||Published - 2013|
- 06.00.00 ECONOMY AND ECONOMIC SCIENCES
Level of Research Output
- VAK List