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The devil in the details: Dynamic Prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling

Author

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  • Djeundje, Viani B.
  • Crook, Jonathan
  • Andreeva, Galina

Abstract

In typical loan portfolios such as mortgages and credit cards, many accounts often experience different stages of delinquency before eventually recovering, fully repaying their balance, or defaulting. From the lender perspective, these events, coupled with the state of the economy, can affect cash-flow and profitability significantly.

Suggested Citation

  • Djeundje, Viani B. & Crook, Jonathan & Andreeva, Galina, 2025. "The devil in the details: Dynamic Prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling," European Journal of Operational Research, Elsevier, vol. 327(2), pages 703-715.
    • Handle: RePEc:eee:ejores:v:327:y:2025:i:2:p:703-715
    DOI: 10.1016/j.ejor.2025.07.008
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    References listed on IDEAS

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    Cited by:

    1. Victor Medina-Olivares & Wangzhen Xia & Stefan Lessmann & Nadja Klein, 2026. "Semi-structured multi-state delinquency model for mortgage default," Papers 2603.26309, arXiv.org.

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