Dynamic Credit Quality Evaluation with Social Network Data
We investigate the filtering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender as male) ego-network data. The hidden credit quality is modeled as a hidden Ga...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2019/8350464 |
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| _version_ | 1832554652043837440 |
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| author | Stanley Sewe Philip Ngare Patrick Weke |
| author_facet | Stanley Sewe Philip Ngare Patrick Weke |
| author_sort | Stanley Sewe |
| collection | DOAJ |
| description | We investigate the filtering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender as male) ego-network data. The hidden credit quality is modeled as a hidden Gaussian mean-reverting process whilst the social network is modeled as a continuous time latent space network model. At discrete times, the network data provides unbiased estimates of the current credit state of the borrower and her ego-network. Combining the continuous time observed behavioral data and network information, we provide filter equations for the hidden credit quality and show how the network information reduces information asymmetry between the borrower and the lender. Further, we consider the case when the network information arrival times are random and solve stochastic optimal control problem for a lender having linear quadratic utility function. |
| format | Article |
| id | doaj-art-a1133cb3b9ea41ffaf416a3c39a7ebaf |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-a1133cb3b9ea41ffaf416a3c39a7ebaf2025-02-03T05:51:00ZengWileyJournal of Applied Mathematics1110-757X1687-00422019-01-01201910.1155/2019/83504648350464Dynamic Credit Quality Evaluation with Social Network DataStanley Sewe0Philip Ngare1Patrick Weke2Pan African University Institute for Basic Sciences, Technology and Innovation, KenyaPan African University Institute for Basic Sciences, Technology and Innovation, KenyaPan African University Institute for Basic Sciences, Technology and Innovation, KenyaWe investigate the filtering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender as male) ego-network data. The hidden credit quality is modeled as a hidden Gaussian mean-reverting process whilst the social network is modeled as a continuous time latent space network model. At discrete times, the network data provides unbiased estimates of the current credit state of the borrower and her ego-network. Combining the continuous time observed behavioral data and network information, we provide filter equations for the hidden credit quality and show how the network information reduces information asymmetry between the borrower and the lender. Further, we consider the case when the network information arrival times are random and solve stochastic optimal control problem for a lender having linear quadratic utility function.http://dx.doi.org/10.1155/2019/8350464 |
| spellingShingle | Stanley Sewe Philip Ngare Patrick Weke Dynamic Credit Quality Evaluation with Social Network Data Journal of Applied Mathematics |
| title | Dynamic Credit Quality Evaluation with Social Network Data |
| title_full | Dynamic Credit Quality Evaluation with Social Network Data |
| title_fullStr | Dynamic Credit Quality Evaluation with Social Network Data |
| title_full_unstemmed | Dynamic Credit Quality Evaluation with Social Network Data |
| title_short | Dynamic Credit Quality Evaluation with Social Network Data |
| title_sort | dynamic credit quality evaluation with social network data |
| url | http://dx.doi.org/10.1155/2019/8350464 |
| work_keys_str_mv | AT stanleysewe dynamiccreditqualityevaluationwithsocialnetworkdata AT philipngare dynamiccreditqualityevaluationwithsocialnetworkdata AT patrickweke dynamiccreditqualityevaluationwithsocialnetworkdata |