Title :
Research on Risk Management of Bank Loan and Loss Provision Based on Markov Chain
Author :
Jibin, M. ; Cheng Yi
Author_Institution :
Huazhong Univ. of Sci. & Technol., Hebei Univ. of Eng., Handan, China
Abstract :
With the incomplete information in the credit market, according to the bank loan risk classification of the five principles, the loan risk management has to be used the absorption Markov chain. Then through the establishment and analysis of the state transition probability matrix of bank loan, the bank loan can be carried out risk forecast and management, on which base we can build the forward-looking loan loss provision model on the foundation of Markov chain and provide the feasible method for bank loan administrative decision.
Keywords :
Markov processes; bank data processing; matrix algebra; probability; risk management; Markov chain; bank loan loss provision; bank loan risk classification; risk management; state transition probability matrix; Absorption; Economic forecasting; Engineering management; Markov processes; Predictive models; Quality management; Risk analysis; Risk management; Stochastic processes; Supply chain management;
Conference_Titel :
E-Business and Information System Security, 2009. EBISS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-2909-7
Electronic_ISBN :
978-1-4244-2910-3
DOI :
10.1109/EBISS.2009.5138055
