Stochastic modelling of provisions in company providing loans – case study

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12510%2F18%3A43897405" target="_blank" >RIV/60076658:12510/18:43897405 - isvavai.cz</a>
Result on the web
<a href="https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf" target="_blank" >https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stochastic modelling of provisions in company providing loans – case study
Original language description
Calculation of provisions is a very important task for each company providing credit loans. Two methods of calculation are used for this purpose. The method based on expected credit loss is commonly used. Expected loss is (in a simplified way) computed as a product of outstanding, probability of default and loss given default. In our contribution we will use the model based on Markov chains for the same purpose. Provisions to the realised contracts are depending on many variables, for example type of loans, type of client, duration, number of instalments from start, number of instalments to end. Overall economic situation has got considerable influence too. In this article, one part of provisioning model – probability of termination - and two approaches to it were analysed. In conclusion, a comparison between commonly used model and model based on simulation is done.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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