Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach
Table 6
Predicted values of expected default rate and deviation rate (in parentheses) after 12 time periods.
Scenario 1
Scenario 2
Scenario 3
TMM
DCMM
MM
TMM
DCMM
MM
TMM
DCMM
MM
Repayment state 0
0.0003 (24.25%)
0.0010 (137.29%)
0.0091 (2003.89%)
0.0509 (18.4%)
0.0304 (41.40%)
0.0091 (82.51%)
0.0052 (4.94%)
0.0085 (57.37%)
0.0091 (67.11%)
Repayment state 1
0.0020 (24.19%)
0.0049 (89.79%)
0.0247 (850.37%)
0.0871 (1.96%)
0.0564 (36.46%)
0.0247 (72.13%)
0.0166 (8.71%)
0.0312 (71.73%)
0.0247 (36.16%)
Repayment state 2
0.0961 (6.30%)
0.1366 (33.18%)
0.1946 (89.69%)
0.2996 (0.35%)
0.2432 (18.54%)
0.1946 (34.83%)
0.1498 (15.56%)
0.2216 (24.89%)
0.1946 (9.65%)
Note: The rates of deviation are obtained from the formula where is the expected default rate based on the estimated parameter values of each model, is the expected default rate based on the true parameter values of TMM in Section 4.1.
