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2015, vol. 44, iss. 3, pp. 78-101
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NPLs modeling in the banking sector of Bosnia and Herzegovina
Modeliranje loših kredita u bankarskom sektoru Bosne i Hercegovine
Abstract
We have chosen non-performing loans in Bosnia and Herzegovina's banking sector for the subject of this research. Our goal was to create models for forecasting of their movements. In addition to different simple linear regression models and time series analysis, we have also used the tools of technical analysis, which is major innovation in this area. Variables affecting non-performing loans are: matured receivables, GDP growth rate, and interest rate spread. The most important result of this research is the verification of our hypothesis that the tools of technical analysis can be used for forecasting the trends of non-performing loans. We have proved that different methodologies for prediction and different regression models, with different independent variables, suit different periods of NPLs development.
Sažetak
Za predmet istraživanja smo izabrali loše kredite u bankarskom sektoru Bosne i Hercegovine. Cilj nam je bio da stvorimo modele za predviđanje njihovog kretanja. Pored raznovrsnih prostih linearnih regresionih modela i analize vremenske serije, koristili smo i alate tehničke analize, što je jedna velika novost u ovoj oblasti. Na loše kredite utiču: dospjela potraživanja, stopa rasta BDP i kamatni raspon. Najvažniji rezultat istraživanja je verifikacija hipoteze da se alati tehničke analize mogu koristiti za predviđanje kretanja loših kredita. Dokazali smo i da različite metodologije za predviđanje i različiti regresioni modeli, sa različitim nezavisnim varijablama, odgovaraju različitim periodima razvoja loših kredita.
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