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A Markov-Chain Model for the Cure Rate of Non-Performing Loans

Vilislav Boutchaktchiev
2018 Social Science Research Network  

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https://web.archive.org/web/20200916153210/https://arxiv.org/pdf/1805.11804v1.pdf

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2018 pre-print arXiv:1805.11804v1 fatcat:cjbpyoh4c5coblua4oy573rsue

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2018 accepted
arXiv:1805.11804v2 fatcat:xwyw3alr7jhzfbt2xrpyoxzwya
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is efficient in terms of data manipulation costs which makes it accessible even to smaller financial institutions. In addition, several other applications to portfolio optimization are suggested.
doi:10.2139/ssrn.3175475 fatcat:co7pdt4eyjg4hdyjdm6gxlx6pa
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Vilislav Boutchaktchiev. "A Markov-Chain Model for the Cure Rate of Non-Performing Loans." Social Science Research Network (2018)