• Login
    View Item 
    •   SU+ Home
    • Conferences / Workshops / Seminars +
    • Strathmore International Mathematics Conference
    • SIMC 2017
    • View Item
    •   SU+ Home
    • Conferences / Workshops / Seminars +
    • Strathmore International Mathematics Conference
    • SIMC 2017
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Modeling of SME credit ratings using non-homogenous backward semi- Markovian approach

    Thumbnail
    View/Open
    Abstract - SIMC Conference paper, 2017 (4.386Kb)
    Date
    2017
    Author
    Muya, Magarita
    Metadata
    Show full item record
    Abstract
    This study seeks to understand the transition dynamics of credit ratings for Small and Medium Enterprises in Kenya using a non-homogenous backward Semi-Markov approach. In modeling credit risk, this approach takes into account the time of default conditioned on the rating and its duration. The solution to the initial and final backward evolution equations enable the formulation of a reliability model. The empirical findings will be critical in developing a rating transition matrix that can be useful in risk management and portfolio evaluation for SME loan portfolios. The findings would further enable banks to align with IFRS 9 guidelines with regard to core capital requirements for the underlying loan portfolio.
    URI
    http://hdl.handle.net/11071/11877
    Collections
    • SIMC 2017 [85]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of SU+Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV