Modeling SME credit ratings using non-homogenous backward semi-Markovian approach / Magarita, Sara Muya

By: Contributor(s): Publication details: Nairobi Strathmore University 2017Description: ix,31p ill.colSubject(s): LOC classification:
  • HG3751.5.M34 2017
Online resources: Summary: 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 values of credit worthiness over a period of 12 months for 1000 SMEs, in which case we establish a case for the discrete time non-homogeneous semi-Markov approach as a proxy for internal rating model for a portfolio of SME loans. While viewing credit risk as a reliability issue, the model provides a credit indicator which gives a prospective measure of credit risk for an SME portfolio. Banks seeking to comply with the new IFRS9 guidelines can espouse this model to adequately measure impairment of financial instruments
Reviews from LibraryThing.com:
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Thesis Thesis Strathmore University (Main Library) Special Collection HG3751.5.M34 2017 Not for loan 79
Total holds: 0

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 values of credit worthiness over a
period of 12 months for 1000 SMEs, in which case we establish a case for the discrete time non-homogeneous semi-Markov approach as a proxy for internal rating model for a portfolio of SME loans. While viewing credit risk as a reliability issue, the model provides a credit indicator which gives a prospective measure of credit risk for an SME portfolio. Banks seeking to comply with the new IFRS9 guidelines can espouse this model to adequately measure impairment of financial instruments

There are no comments on this title.

to post a comment.
© Strathmore University Library Madaraka Estate Ole, Sangale Road P. O. Box 59857 00200 City Square Nairobi Kenya
Tel.: (+254) (0)703 034000/(0)703 034200/(0)703 034300 Fax.: (+254) (0)20-607498