A detailed analysis of fulfilling and delinquency of payments on loan

A new model for predicting the future expected cash flows from a loan is developed. It is based on a detailed analysis of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has significantly less uncertainty compared with the Markov chain model with the same detailing. The model is expected to have greater predictive power in comparison to the traditional models, and its usage will allow reducing the interest rate on the loan. The results of estimation of the probabilities of payments over time and the future expected cash flows from the loan with monthly equal principal repayment are given.