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Janiszewski Szymon (University of Technology and Humanities in Radom)
Non-Performing Loans Ratio as the Quality Determinant of Credit Portfolio
Wskaźnik kredytów ze stwierdzoną utratą wartości jako determinanta jakości portfela kredytowego
Towaroznawcze Problemy Jakości, 2017, nr 4, s. 13-21, rys., tab., bibliogr. 20 poz.
Polish Journal of Commodity Science
Portfel kredytowy, Jakość, Kredyt hipoteczny, Model ARMA
Credit portfolio, Quality, Mortgage credit, ARMA model
summ., streszcz.
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)

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)
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Full text
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