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Discriminant Analysis of Zero Recovery for China's NPL
Joint Authors
Tang, Yue
Chen, Muzi
Chen, Hao
Wang, Bo
Chen, Min
Yang, Xiaoguang
Source
Journal of Applied Mathematics and Decision Sciences
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-06-03
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
Classification of whether recovery of non-performing loans (NPL) is zero or positive is not only important in management of non-performing loans, but also is essential for estimating recovery rate and implementing the new Basel Capital Accord.
Based on the largest database of NPL's recovering information in China, this paper tries to establish discriminant models to predict the loan with zero recovery.
We first use Step-wise discrimination method to select variables; then give an in-depth analysis on why the selected variables are important factors influencing whether a loan is zero or positive recovery rate.
Using the selected variables, we establish two-type discriminant models to classify the NPLs.
Empirical results show that both models achieve high prediction accuracy, and the characteristics of obligors are the most important factors in determining whether a NPL is positively recovered or zero recovered.
American Psychological Association (APA)
Tang, Yue& Chen, Hao& Wang, Bo& Chen, Muzi& Chen, Min& Yang, Xiaoguang. 2009. Discriminant Analysis of Zero Recovery for China's NPL. Journal of Applied Mathematics and Decision Sciences،Vol. 2009, no. 2009, pp.1-16.
https://search.emarefa.net/detail/BIM-483657
Modern Language Association (MLA)
Tang, Yue…[et al.]. Discriminant Analysis of Zero Recovery for China's NPL. Journal of Applied Mathematics and Decision Sciences No. 2009 (2009), pp.1-16.
https://search.emarefa.net/detail/BIM-483657
American Medical Association (AMA)
Tang, Yue& Chen, Hao& Wang, Bo& Chen, Muzi& Chen, Min& Yang, Xiaoguang. Discriminant Analysis of Zero Recovery for China's NPL. Journal of Applied Mathematics and Decision Sciences. 2009. Vol. 2009, no. 2009, pp.1-16.
https://search.emarefa.net/detail/BIM-483657
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-483657