Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Backward Semi-Markov Models"
Now showing items 1-1 of 1
-
Modeling SME credit ratings using non-homogenous backward semi-Markovian approach
(Strathmore University, 2017)Considering the growth in SME lending in Kenya and the obvious risks it posses to the banking sector, we establish a credit risk model that is responsive to the jumps in the economy. This is based on simulation of implied ...