On the Use of Macroeconomic Factors to Forecast Probability of Default
Copyright policy )On the Use of Macroeconomic Factors to Forecast Probability of Default
A time series investigation of how the historic rates of default for corporate and retail credit exposures in three small Bulgarian banks is linked to the evolution of basic macroeconomic parameters. The result is a model which produces forecasts for probability of default based on economic outlook.
- Bulgarian Academy of Sciences Bulgaria
- University of National and World Economy Bulgaria
- Institute of Mathematics and Informatics Bulgaria
макроикономически перспективи, влиянието на основни макроикономически показатели върху вероятността от кредитно неизпълнение, исторически данни, evolution of basic macroeconomic parameters, модел за прогнозиране на вероятност от неизпълнение, historic rates of default for corporate and retail credit exposures, поведението на времеви редове
макроикономически перспективи, влиянието на основни макроикономически показатели върху вероятността от кредитно неизпълнение, исторически данни, evolution of basic macroeconomic parameters, модел за прогнозиране на вероятност от неизпълнение, historic rates of default for corporate and retail credit exposures, поведението на времеви редове
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