A Markov Chain approach to determine the Optimal Performance Period and Bad Definition for Credit Scorecard
Publication Type
Journal Article
Publication Date
10-2011
Abstract
Performance period determination and bad definition for credit scorecard has been a mix of fortune for the typical data modeler. The lack of literature on these matters led to aproliferation of approaches and techniques to solve the problems. However, the most commonly accepted approach involves subjective interpretations of the performance period and bad definition as well as being chicken and egg problem. These complications result in poorly developed credit scorecard with minimal benefits to the banks. In this paper, we will be recommending a simple and effective approach to resolve these issues.
Keywords
Credit Risk, Markov Chain, Bad Definition, Basel II
Discipline
Computer Sciences | Finance and Financial Management | Management Information Systems
Research Areas
Information Systems and Management
Publication
Research Journal of Social Science and Management
Volume
1
Issue
6
First Page
227
Last Page
234
ISSN
2251-1571
Publisher
International Journal Organisation
Citation
CHOY, Murphy and MA, Nang Laik.
A Markov Chain approach to determine the Optimal Performance Period and Bad Definition for Credit Scorecard. (2011). Research Journal of Social Science and Management. 1, (6), 227-234.
Available at: https://ink.library.smu.edu.sg/sis_research/1449
Additional URL
http://arxiv.org/abs/1106.4513v2