Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Semi-Markov Models"
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Semi-Markov credit risk modeling for a portfolio of consumer loans in the Kenyan banking industry
Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, we establish a case for the semi-markov models as a proxy for internal credit risk models for a portfolio of consumer ...