Rating transitions forecasting: a filtering approach
Analyzing the effect of business cycle on rating transitions has been a subject of great
interest these last 15 years, particularly due to the increasing pressure coming from …
interest these last 15 years, particularly due to the increasing pressure coming from …
Filtering and stastistical learning for financial risk management
T Picard - 2023 - theses.hal.science
This thesis aims to examine financial risk management within the contexts of credit and
investment domains. The first part of this thesis explores the risk associated with credit rating …
investment domains. The first part of this thesis explores the risk associated with credit rating …
Loan portfolio payment flows management considering macroeconomic parameters forecast
G Timofeeva, Y Bozhalkina, N Timofeev - AIP Conference Proceedings, 2018 - pubs.aip.org
Markov model of the loan portfolio dynamics considering the process of new customers
attraction as a control action from the bank management is described. Unlike the models …
attraction as a control action from the bank management is described. Unlike the models …
Markov model of the loan portfolio dynamics considering influence of management and external economic factors
Y Bozhalkina, G Timofeeva - AIP Conference Proceedings, 2016 - pubs.aip.org
Mathematical model of loan portfolio in the form of a controlled Markov chain with discrete
time is considered. It is assumed that coefficients of migration matrix depend on corrective …
time is considered. It is assumed that coefficients of migration matrix depend on corrective …
Зависимость структуры кредитного портфеля от уровня отсечения в скоринговой модели
ГА Тимофеева, ЯА Божалкина - Journal of new economy, 2018 - cyberleninka.ru
Исследование направлено на обоснование математической модели влияния процесса
отбора заявок на ожидаемую к концу планируемого периода структуру кредитного …
отбора заявок на ожидаемую к концу планируемого периода структуру кредитного …
[PDF][PDF] Моделирование потоков платежей с помощью марковских случайных процессов
ГА Тимофеева, ЯА Божалкина - Mathematical Modeling and …, 2016 - ceur-ws.org
Аннотация Рассматриваются вероятностные модели потока платежей для
инвестиционного проекта и для кредитного портфеля. Описаны подходы к получению …
инвестиционного проекта и для кредитного портфеля. Описаны подходы к получению …