2022, Vol. 7, Issue 4, Part C
An analysis of credit risk measurement and management using a multivariate Markov chain modelAuthor(s):
Kurui Godfrey KipkoechAbstract:
A multivariate Markov chain describes the dependency of credit-risk of assets in a portfolio. The application of transition from the credit bureau using transition matrix from consumer performance and experience is combined well in credibility theory. The application of logistic regression has been done on classification and determination of factors which affects the behavioral score of the consumer. One type of logistic regression, the cumulative logistic regression has a latent variable link that links function determining the dynamic of consumers’ behavioral score.Pages: 196-203 | Views: 230 | Downloads: 9Download Full Article: Click Here
How to cite this article:
Kurui Godfrey Kipkoech. An analysis of credit risk measurement and management using a multivariate Markov chain model. Int J Stat Appl Math 2022;7(4):196-203.