Forecasting losses on a liquidating long-term loan portfolio

Assessing the condition of financial institutions and valuation of loan portfolios in secondary markets require the estimation of exposure to losses on existing portfolios of long-term loans. Data from a major U.S. financial institution were used to construct a forecasting model with Markovian struc...

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Veröffentlicht in:	Journal of banking & finance 1995-09, Vol.19 (6), p.959-985
Hauptverfasser:	Douglas Smith, L., Lawrence, Edward C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Banking Financial institutions Forecasting Forecasting techniques Lending institutions Liquidity Loan losses Loans Markov analysis Markovian models Mathematical models Mortgages Portfolio management
Online-Zugang:	Volltext
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