Functional clustering of NPLs recovery curves

IF 6.2 2区经济学 Q1 ECONOMICS

Socio-economic Planning Sciences Pub Date : 2024-07-10 DOI:10.1016/j.seps.2024.102018

引用次数: 0

Abstract

The recovery performance of a portfolio of Non-Performing Loans can be measured in terms of recovery rate and liquidation time jointly through a “recovery curve” representative of recovery rates over time. When portfolio heterogeneity is very high, it is informative to estimate more than just one curve by dividing the portfolio into several homogeneous subsets, i.e. clusters, and calculating a recovery curve for each of them. The aim of this work is to estimate the optimal portfolio partition and the smoothed recovery curves of each cluster by means of non-parametric statistical learning techniques.

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不良贷款回收曲线的功能聚类

不良贷款组合的回收绩效可以通过代表不同时期回收率的 "回收曲线"，从回收率和清算时间两个方面来衡量。当投资组合的异质性很高时，将投资组合划分为几个同质子集（即群组），并为每个子集计算一条回收曲线，就可以估算出不止一条曲线。这项工作的目的是通过非参数统计学习技术来估计最优投资组合分区和每个群组的平滑恢复曲线。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Socio-economic Planning Sciences OPERATIONS RESEARCH & MANAGEMENT SCIENCE-

CiteScore

9.40

自引率

13.10%

发文量

294

审稿时长

58 days

期刊介绍： Studies directed toward the more effective utilization of existing resources, e.g. mathematical programming models of health care delivery systems with relevance to more effective program design; systems analysis of fire outbreaks and its relevance to the location of fire stations; statistical analysis of the efficiency of a developing country economy or industry. Studies relating to the interaction of various segments of society and technology, e.g. the effects of government health policies on the utilization and design of hospital facilities; the relationship between housing density and the demands on public transportation or other service facilities: patterns and implications of urban development and air or water pollution. Studies devoted to the anticipations of and response to future needs for social, health and other human services, e.g. the relationship between industrial growth and the development of educational resources in affected areas; investigation of future demands for material and child health resources in a developing country; design of effective recycling in an urban setting.