Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-01-19
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio.
A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers.
The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers.
The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters.
We show how the transition of consumers’ repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations.
American Psychological Association (APA)
Chen, Shou& Jiang, Xiangqian. 2020. Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach. Complexity،Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1142468
Modern Language Association (MLA)
Chen, Shou& Jiang, Xiangqian. Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach. Complexity No. 2020 (2020), pp.1-11.
https://search.emarefa.net/detail/BIM-1142468
American Medical Association (AMA)
Chen, Shou& Jiang, Xiangqian. Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach. Complexity. 2020. Vol. 2020, no. 2020, pp.1-11.
https://search.emarefa.net/detail/BIM-1142468
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142468