Forecasting the Return of the Loan Portfolio on the Basis of Markov Model

DOI10.14529/MMP170305zbMath1377.60074OpenAlexW2757370547MaRDI QIDQ4600364

G. A. Timofeeva

Publication date: 8 January 2018

Published in: Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vyuru386

zbMATH Keywords

Markov chainforecastingloan portfoliopayment flows

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

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