Non-Performing Loans Ratio as the Quality Determinant of Credit Portfolio

• Autorzy: Szymon Janiszewski

Warianty tytułu

Wskaźnik kredytów ze stwierdzoną utratą wartości jako determinanta jakości portfela kredytowego

• Języki publikacji: EN

Abstrakty

EN

Non-performing loans ratio of Polish banking sector for household, customer and mortgage credit portfolios was modelled and forecasted. It was confirmed that the ratio was useful and easy to model determinant of quality of a credit portfolio. The forecasts are stable and fully consistent with supervisory predictions of the loan portfolio quality. (original abstract)

W pracy badano numerycznie i prognozowano wskaźnik kredytów ze stwierdzoną utratą wartości dla portfeli kredytów gospodarstw domowych, kredytów konsumenckich i hipotecznych w polskim sektorze bankowym. Potwierdzono użyteczność wskaźnika jako miary jakości portfela kredytowego - otrzymane prognozy są w pełni zgodne z danymi nadzorczymi i ocenami eksperckimi dotyczącymi jakości portfeli kredytowych w przyszłości. (abstrakt oryginalny)

Słowa kluczowe

EN

Credit portfolio; Quality; Mortgage credit; ARMA model

PL

Portfel kredytowy; Jakość; Kredyt hipoteczny; Model ARMA

• Czasopismo: Towaroznawcze Problemy Jakości
• Rocznik: 2017
• Numer: nr 4
• Strony: 13--21

Twórcy

autor

Szymon Janiszewski

• University of Technology and Humanities in Radom

Bibliografia

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Identyfikatory

DOI

10.19202/j.cs.2017.04.01