Multiple NPL models better than single models, research finds

Combinations of models produce better NPL estimates in study of Greek crisis

Two heads better than one when it comes to NPL modelling?

New research into the forecasting of bad loans has found banks would achieve better results by combining a variety of economic models, rather than relying on a single approach.

The analysis, by Georgios Papadopoulos, an economist at the Democritus University of Thrace in Greece, used portfolio data from three Greek banks to study how effectively models were able to convert a macroeconomic scenario – such as a decline in GDP or rise in unemployment – into a credit risk impact, specifically the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here