Document Type
Thesis - University Access Only
Award Date
2009
Degree Name
Doctor of Philosophy (PhD)
Department / School
Mathematics and Statistics
Abstract
This paper proposes a Markov model for use in the prediction of credit failure of credit card holders, where the transition probabilities are modeled through a multinomial regression with predictors of risk as covariates. Examples using actual industry data will be given. In order to measure the performance of the model a new Model Quality Metric is proposed as an improvement to the commonly used Kolmogorov-Smirnov Statistic and Receiver Operating Characteristic Curve.
Library of Congress Subject Headings
Consumer credit
Credit cards
Risk management -- Mathematical models
Markov processes
Format
application/pdf
Number of Pages
135
Publisher
South Dakota State University
Recommended Citation
Brandenburger, Thomas, "A Markov Multinomial Regression Model for Predicting Consumer Credit Risk" (2009). Electronic Theses and Dissertations. 1566.
https://openprairie.sdstate.edu/etd2/1566