Exploit NPLs Value for AMC via Operations Research and Computer

摘要：

NPL has been posing a serious threaten to financial institutions and even a countrys economy. NPLs valuation is of great importance in NPLs clearing process, in particular for commercial banks and asset management companies. This paper tries to construct a framework to exploit NPLs value for AMC via operations research and computer. Firstly, some OR models are built for classification and value estimation of NPLs, which includes classification models, multiple discriminant analysis (MDA) model, supporting vector machine (SVM) model, recovery rate prediction models either for single or package-debtors. Second, we build an operations research based decision support system (DSS) framework for NPL clearing.

关键词： non-performing loan recovery rate DSS framework

作者: WANG Donghao YANG Xiongguang

作者单位: School of Economics and Management, Beijing Jiaotong University, Beijing, P.R.China, 100044 Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing,P.R.China, 100190

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 882-886

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）