The Evaluation of Credit Portfolio Behavior of Banks using Discrete Markov Chain: Case study of one of the banks in Iran
کد مقاله : 1017-ACC17 (R3)
محمد سیرانی *1، Tayebe Zanganeh2، Masoumeh Ataolahi3
1گروه حسابداری، دانشکده مهندسی صنایع، مدیریت و حسابداری دانشگاه شهاب دانش ، قم ، ایران
2Department of Finance, Oloom Tahghighat, Islamic Azad University, Tehran, Iran
3Department of finance, Oloom Tahghighat, Islamic Azad University, Tehran, Iran
چکیده مقاله:
Goal: With the increase of deferred debt, optimal allocation of loans and evaluation of the credit portfolio behavior of banks is necessary. The majority of financial institutes namely banks need the models useful in prediction of potential loss of portfolio of loan and ranking customers to improve crediting process. The present study models the prediction of loan portfolio prediction of banks using Finite State Markov Chain.Method: Markov chain model is one of the methods based on previous data method and is applied in loss prediction (number of deferred loans), delinquency of loan portfolio and ranking of customers. The proposed Markov model consists of three states as (1) Active loan (2) loan delinquent for one to three months (3) deferred loan. Transition matrix between different states is achieved by historical data of loan portfolio inone of the banks in the Iran and then the number of payments, deferred loan or non-payout are predicted.
Conclusion: It was found that the proposed Markov model predicted the behavior of credit portfolio of banks.
کلیدواژه ها:
Keywords: Bank’s credit portfolio, Stochastic processes, Discrete Markov chain
وضعیت : مقاله پذیرفته شده است