| Autor: |
Vasilev Julian A. |
| Jazyk: |
angličtina |
| Rok vydání: |
2015 |
| Předmět: |
|
| Zdroj: |
Folia Oeconomica Stetinensia, Vol 15, Iss 1, Pp 114-126 (2015) |
| Druh dokumentu: |
article |
| ISSN: |
1898-0198 |
| DOI: |
10.1515/foli-2015-0027 |
| Popis: |
The purpose of this study is to estimate the future duration of a loan contract on the basis of several factors. The main methodology consists of a brief explanation of a survival analysis and a thorough application of a survival analysis in loan management. A real dataset from a credit institution (situated in Varna) is used. All contracts were signed for 30 days but some contracts were ended earlier, others - later. The main research question concerns the following statement. We may try to predict future loan duration by making an econometric model describing the dependency between the loan duration (as a dependent variable) and several independent variables. The dataset is analysed by calculating life tables, applying the Kaplan-Maier method and using Cox regression within SPSS. It is has been proved that the main covariates affecting loan duration are the variables: born in the region, month of birth and age. The formulated conclusions are valid for the analysed credit institution. This work provides a methodology for adapting duration models in credit institutions. The presented methodology (in this paper) may be applied over the dataset of other credit institutions (including banks) for loan duration prediction. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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