Impact of Credit Risk and Business Cycles on Momentum Returns

Handbook of Recent Advances in Commodity and Financial Modeling - International Series in Operations Research & Management Science ◽

10.1007/978-3-319-61320-8_2 ◽

2017 ◽

pp. 17-39

Author(s):

Sirajum Munira Sarwar ◽

Sharon Xiaowen Lin ◽

Yaz Gülnur Muradoǧlu

Keyword(s):

Business Cycles ◽

Credit Risk

Download Full-text

Momentum, Credit Risk and Business Cycles

SSRN Electronic Journal ◽

10.2139/ssrn.1564082 ◽

2010 ◽

Author(s):

Sirajum Munira ◽

Yaz Gulnur Muradoglu

Keyword(s):

Business Cycles ◽

Credit Risk

Download Full-text

Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach

Complexity ◽

10.1155/2020/5458941 ◽

2020 ◽

Vol 2020 ◽

pp. 1-11

Author(s):

Shou Chen ◽

Xiangqian Jiang

Keyword(s):

Business Cycles ◽

Markov Model ◽

Credit Risk ◽

Realistic Model ◽

Model Parameters ◽

Behavior Model ◽

Loan Portfolio ◽

Monte Carlo Algorithms ◽

Credit Risk Analysis ◽

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 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.

Download Full-text