Title: A Markov Chain Model for the Cure Rate of Non-Performing Loans,
Abstract: A Markov-chain model is developed for the purpose estimation of the cure rate
of non-performing loans. The technique is performed collectively, on portfolios
and it can be applicable in the process of calculation of credit impairment. It
is efficient in terms of data manipulation costs which makes it accessible even
to smaller financial institutions. In addition, several other applications to
portfolio optimization are suggested.