Markov chain sensitivity analysis of expected paid/unpaid overdue receivables - SME case study

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F17%3A43932775" target="_blank" >RIV/49777513:23510/17:43932775 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Markov chain sensitivity analysis of expected paid/unpaid overdue receivables - SME case study

Original language description

The paper uses existing Markov chain theory to estimate expected paid/unpaid overdue receivables, and is focused mainly upon sensitivity analysis of calculated estimations. Since such calculations depend upon fundamental matrix of absorption Markov chain chosen, the particularly important role plays data and algorithm for its composition. As a case study, we selected a SME ranked company which provided us its accounting records with payment pattern details of related receivables. First, the available data are sorted to extract overdue receivables, which serve to estimate transition probability matrices of absorption Markov chains having several transient states and two absorption ones representing paid and unpaid overdue receivables. Based either on number of overdue receivables or their financial volumes we build different transition probability matrices. The sensitivity analysis of expected paid/unpaid overdue receivables concerns influence of different overdue threshold and tolerance accepted, conditional probabilities between transient and absorption states, as well as distribution of financial volumes in particular transient states registered. The results are discussed in detail showing their practical importance in financial management and providing deeper insight into overdue payment processes thus contributing to risk management, too. All computations and graphical issues are performed by sw Mathematica.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50204 - Business and management

Project

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Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Proceedings of the 14th International Scientific Conference Part 2

ISBN

978-80-210-8609-8

ISSN

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e-ISSN

neuvedeno

Number of pages

8

Pages from-to

11-18

Publisher name

Masarykova univerzita

Place of publication

Brno

Event location

Masarykova univerzita, Brno

Event date

Jun 26, 2017

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

000418110800001