Non-performing loans ratio as the quality determinant of credit portfolio

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Key words: 

portfolio quality, mortgage loans, non-performing loans, ARMA model. 


Non-performing loans ratio of Polish banking sector for household, customer and mortgage credit portfolios was modelled and forecasted. It was confirmed that the ratio was useful and easy to model determinant of quality of a credit portfolio. The forecasts are stable and fully consistent with supervisory predictions of the loan portfolio quality.


University of Technology and Humanities in Radom

Faculty of Computer Science and Mathematics

ul. Malczewskiego 20a 26-600

Radom e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.