Non-Parametric Approach for Modeling Credit Portfolio

Student: Kosarev Vladislav

Educational Programme: Applied Economics (Master)

Year of Graduation: 2016

In this paper we consider an approach for modeling credit portfolio. The main idea of this approach is to decompose the actual data of the credit portfolio behavior into three components: age effect, cohort effect and period effect. Various non-parametric techniques are used to implement the decomposition.

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