Modeling of Cash Flows from Nonperforming Loans in a Commercial Bank

Srečko Devjak

Srečko Devjak

Ključne besede: banka, tveganje likvidnosti, modeliranje denarnega toka, kreditno tveganje, slaba posojila

Povzetek

Namen tega članka je izpeljati model za izračun zapadlosti in obsega odplačil, ki jih lahko banka pričakuje iz nepotrošniških slabih posojil (NPL). Pričakovani prilivi iz nepotrošniških NPL-jev sledijo verjetnostni porazdelitvi, opredeljeni z velikostjo in izbiro pravih trenutkov zgodovinskih odplačil NPL-jev. Empirična analiza je pokazala, da verjetnostna porazdelitev pričakovanih vplačil nepotrošniških NPL-jev znatno odstopa od simetrične porazdelitve in je asimetrična v desno. Natančnost izpeljanega modela je odvisna od razpoložljivih bančnih podatkov o NPL-jih korporativnih sektorjev in stopnjah vračil po časovnih intervalih. V tem članku izoblikovan model je v interesu katerekoli banke, še posebej bank z višjimi deleži NPL-jev v njihovem posojilnem portfelju. Dodana vrednost tega članka se kaže na področju upravljanja tveganja likvidnosti v bankah, saj v preostali literaturi ni drugega modela za isti namen.

Prenosi

Podatki o prenosih še niso na voljo.

Biografija avtorja

Srečko Devjak

Rizikomanagement d.o.o., Velike Lašče, Slovenija
E-pošta: srecko.devjak@rizikomanagement.si

Dr. Srečko Devjak holds a PhD in operations research from the University of Ljubljana, Faculty of Economics. He is a banker and works in London as a risk manager and quant engineer in the area of market, liquidity, interest rate risk, and model risk management. His research focuses on models for measurement of noncredit risks in banks and econometric models for forecasting of macroeconomic variables, which enter as inputs into a bank’s capital planning process. He is also an assistant professor for risk management in finance.

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