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Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market

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Main Authors: Maria, Carannante, Valeria, D’Amato, Paola, Fersini
Format: Book
Language:English
Published: Springer 2023
Subjects:
NPLs
ML
Online Access:https://link.springer.com/article/10.1007/s11846-023-00635-y
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8437
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spelling oai:localhost:PNK-84372023-05-11T01:49:22Z Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market Maria, Carannante Valeria, D’Amato Paola, Fersini NPLs ML CC BY In this paper, we contribute to the topic of the non-performing loans (NPLs) business profitability on the secondary market by developing machine learning-based due diligence. In particular, a loan became non-performing when the borrower is unlikely to pay, and we use the ability of the ML algorithms to model complex relationships between predictors and outcome variables, we set up an ad hoc dependent random forest regressor algorithm for projecting the recovery rate of a portfolio of the secured NPLs. Indeed the profitability of the transactions under consideration depends on forecast models of the amount of net repayments expected from receivables and related collection times. Finally, the evaluation approach we provide helps to reduce the ”lemon discount” by pricing the risky component of informational asymmetry between better-informed banks and potential investors in particular for higher quality, collateralised NPLs. 2023-05-11T01:49:22Z 2023-05-11T01:49:22Z 2023 Book https://link.springer.com/article/10.1007/s11846-023-00635-y https://dlib.phenikaa-uni.edu.vn/handle/PNK/8437 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic NPLs
ML
spellingShingle NPLs
ML
Maria, Carannante
Valeria, D’Amato
Paola, Fersini
Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
description CC BY
format Book
author Maria, Carannante
Valeria, D’Amato
Paola, Fersini
author_facet Maria, Carannante
Valeria, D’Amato
Paola, Fersini
author_sort Maria, Carannante
title Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
title_short Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
title_full Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
title_fullStr Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
title_full_unstemmed Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market
title_sort machine learning due diligence evaluation to increase npls profitability transactions on secondary market
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s11846-023-00635-y
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8437
_version_ 1765717597642293248
score 8.891787

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