Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach
With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describ...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/5458941 |
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| _version_ | 1832550505932390400 |
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| author | Shou Chen Xiangqian Jiang |
| author_facet | Shou Chen Xiangqian Jiang |
| author_sort | Shou Chen |
| collection | DOAJ |
| description | With a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters. We show how the transition of consumers’ repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations. |
| format | Article |
| id | doaj-art-96efbf0ad3d948769ceb14a460e3c35f |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-96efbf0ad3d948769ceb14a460e3c35f2025-02-03T06:06:42ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/54589415458941Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model ApproachShou Chen0Xiangqian Jiang1School of Business and Administration, Hunan University, Changsha 410082, ChinaSchool of Business and Administration, Hunan University, Changsha 410082, ChinaWith a view to develop a more realistic model for credit risk analysis in consumer loan, our paper addresses the problem of how to incorporate business cycles into a repayment behavior model of consumer loan in portfolio. A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters. We show how the transition of consumers’ repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations.http://dx.doi.org/10.1155/2020/5458941 |
| spellingShingle | Shou Chen Xiangqian Jiang Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach Complexity |
| title | Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach |
| title_full | Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach |
| title_fullStr | Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach |
| title_full_unstemmed | Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach |
| title_short | Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach |
| title_sort | modeling repayment behavior of consumer loan in portfolio across business cycle a triplet markov model approach |
| url | http://dx.doi.org/10.1155/2020/5458941 |
| work_keys_str_mv | AT shouchen modelingrepaymentbehaviorofconsumerloaninportfolioacrossbusinesscycleatripletmarkovmodelapproach AT xiangqianjiang modelingrepaymentbehaviorofconsumerloaninportfolioacrossbusinesscycleatripletmarkovmodelapproach |