Sul controllo dinamico dell'affidabilità creditizia mediante catene di Markov

A dynamical monitoring of credit risky portfolios is described. It is shown how a dependence of Markovian kind can be used in modeling the tradeoff between customer’s behaviour and profit/loss of his financial obligation. This framework is based on the Credit Worthiness Index (CWI), defined by the authors and whose properties have been described in previous works since 2004. In particular recursive formulas for estimating the CWI’s first four moments (mean, variance, skewness, kurtosis) are given. Numerical examples, with a description of a profit/loss analysis of a financial obligation, complete the article.