Valuation of a Non-Performing Loan Portfolio
Typ
Examensarbete för masterexamen
Program
Engineering mathematics and computational science (MPENM), MSc
Publicerad
2020
Författare
Bejmer, Max Peter
Wiskman, Linus
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
This master’s thesis focuses on valuation of a non performing loans portfolio, provided
by partner company Dignisia. Two models are developed; a combined classificationregression
model and a Markov chain model. Valuation performances are decent but
explanatory power, i.e. R2 values, are lower or on par with similar research.
The two models are tested in two scenarios with the aim of investigating improvement
in model performance with knowledge of prior payment history. No clear
relation is found between demographic and errand-specific attributes and debt collection
rate. The Markov chain model shows similar performance as the more conventional
method static pool, in portfolio valuation. However, advantages of the
Markov model are the adaptation to new data and the possibility of model extensions
which are further discussed. Data quality and quantity are presumed to be
the major limiting factors, which is in line with conclusions in the literature.
Beskrivning
Ämne/nyckelord
Collection rate, forecasting, prediction, debt collection, non-performing loans, NPL, classification, regression, Markov chain.