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Forecasting of Bad and Restructured Loans in Bulgarian Bank System through ARIMA Models

Author

Listed:
  • Boyan Lomev

    (Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski)

  • Ivan Ivanov

    (Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski)

  • Magdalena Yankova

    (Bulgarian National Bank, Sofia, Bulgaria)

Abstract

The monitoring of bad and overdue credits in Bulgaria is an important duty of the National Bank. Rapid increase of these types of credits is a potential menace to the stability of the bank system and thus forecasting of their future values is of great importance. In this work we apply classical linear time-series models and Box-Jenkins approach to bad and overdue credits monthly data. Starting with relatively wide set of initial “candidates” we find appropriate model. Three months ahead forecasts are calculated along with 95 % confidence intervals for the forecasts. The obtained results were generally confirmed by the actual values observed.

Suggested Citation

  • Boyan Lomev & Ivan Ivanov & Magdalena Yankova, 2013. "Forecasting of Bad and Restructured Loans in Bulgarian Bank System through ARIMA Models," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, vol. 11(1), pages 181-189, March.
    • Handle: RePEc:sko:yrbook:v:11:y:2013:i:1:p:181-189
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