Using Multi-state Markov models to predict the probability of borrowers’ default
Introduction. After the crises, lenders realized the importance of assessing the risk of default on loan portfolios in various economic conditions. Modeling of credit risk assessment occurs mainly using internal ratings of banks based on probabilistic models of defaults of borrowers over a certain p...
| Auteurs principaux: | , , |
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| Format: | Article |
| Langue: | English |
| Publié: |
Saratov State University
2023-03-01
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| Collection: | Известия Саратовского университета. Новая серия: Серия «Экономика. Управление. Право» |
| Sujets: | |
| Accès en ligne: | https://eup.sgu.ru/sites/eup.sgu.ru/files/2023/02/ekonomika_2023_1-35-41.pdf |