Loan portfolio payment flows management considering macroeconomic parameters forecast

摘要

Markov model of the loan portfolio dynamics considering the process of new customers attraction as a control action from the bank management is described. Unlike the models, that do not take into account the attraction of new customers, the proposed model describes not only the structure, but also the volume of the loan portfolio, which allows to model and predict changes in quantitative lending indicators in dynamics when changing bank management decisions on the organization of selection procedure. When choosing the optimal management strategy such indicators as portfolio income and risk are used. In accordance with the adopted approach in the financial analysis, portfolio income will be described based on the analysis of payment flows using its net present value (NPV). The risk of the loan portfolio will be calculated as a share of problem loans. The model also takes into account dependence of the incoming applications flow quality from external economic factors. The problem of choosing the optimal management strategy of the bank by two criteria (NPV and a share of problem loans) based on the Markov model of the loan portfolio structure dynamics considering the forecast of macroeconomic parameters is formulated.