FORECASTING LOSS BASED ON STOCHASTIC PROCESSES
Forecasting loss for credit loans will be done by predicting the account's behaviour, which is good or bad. In this Final Project, we use Markov chain as a main model to forecast loss. However, we first consider the behaviour of the account using Binomial logistic regression as a precise model....
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/17649 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Forecasting loss for credit loans will be done by predicting the account's behaviour, which is good or bad. In this Final Project, we use Markov chain as a main model to forecast loss. However, we first consider the behaviour of the account using Binomial logistic regression as a precise model. Thereafter, it will be reviewed as well, the persistence properties from the Markov chain so that we can observe the behaviour of the account for several successive time periods. Furthermore, simulation is given to provide a better understanding about the problem. |
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