This paper reviews the dynamics of probability of default of consumer loans for the period from Q2 2011 to Q2 2014, describes a model for calculating probability of default by migration matrices. The paper also includes a comparison of reserves established in accordance with the regulation of Bank of Russia № 254-P and expected losses of the portfolio calculated in accordance with the IRB approach.
Translated title of the contributionDynamics of the Measure of Default Probability on Personal Loans
Original languageRussian
Pages (from-to)40-44
Number of pages5
JournalДеньги и кредит
Issue number2
Publication statusPublished - 2015

    Level of Research Output

  • VAK List

    GRNTI

  • 06.73.00

ID: 1757174