Stochastic modelling of provisions in company providing loans – case study

Kód výsledku v 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>

Výsledek na webu

<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

—

Jazyk výsledku

angličtina

Název v původním jazyce

Stochastic modelling of provisions in company providing loans – case study

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Stochastic modelling of provisions in company providing loans – case study

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics

ISBN

978-80-7378-371-6

ISSN

—

e-ISSN

—

Počet stran výsledku

5

Strana od-do

104-108

Název nakladatele

Matfyzpress

Místo vydání

Praha

Místo konání akce

Jindřichův Hradec

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000507455300019