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

Simple item page
dc.contributor.authorMuya, Magarita
dc.date.accessioned2021-05-13T09:19:15Z
dc.date.available2021-05-13T09:19:15Z
dc.date.issued2017
dc.descriptionPaper presented at the 4th Strathmore International Mathematics Conference (SIMC 2017), 19 - 23 June 2017, Strathmore University, Nairobi, Kenya.en_US
dc.description.abstractThis 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.en_US
dc.identifier.urihttp://hdl.handle.net/11071/11877
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectSMEen_US
dc.subjectCredit ratingsen_US
dc.subjectMarkovian approachen_US
dc.titleModeling of SME credit ratings using non-homogenous backward semi- Markovian approachen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Modeling of SME credit ratings using non-homogenous backward semi-Markovian approach.pdf
Size:
4.39 KB
Format:
Adobe Portable Document Format
Description:
Abstract - SIMC Conference paper, 2017
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
SIMC 2017