Modeling of Cash Flows from Nonperforming Loans in a Commercial Bank
Ključne besede:
banka, tveganje likvidnosti, modeliranje denarnega toka, kreditno tveganje, slaba posojilaPovzetek
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.
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