文章基本信息

标题：Credit Scoring with Ego-Network Data
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作者：Stanley Sewe ; Philip Ngare ; Patrick Weke 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2019
卷号：9
期号：3
页码：522-534
DOI：10.4236/jmf.2019.93027
出版社：Scientific Research Publishing
摘要：This article investigates a stochastic filtering problem whereby the bor-rower’s hidden credit quality is estimated using ego-network signals. The hidden credit quality process is modeled as a mean reverting Ornstein-Ulehnbeck process. The lender observes the borrower’s behavior modeled as a continuous time diffusion process. The drift of the diffusion process is driven by the hidden credit quality. At discrete fixed times, the lender gets ego-network signals from the borrower and the borrower’s direct friends. The observation filtration thus contains continuous time borrower data augmented with discrete time ego-network signals. Combining the continuous time observation data and ego-network information, we derive filter equations for the hidden process and the properties of the conditional variance. Further, we study the asymptotic properties of the conditional variance when the frequency of arrival of ego-network signals is increased.
关键词：Stochastic Filtering;Bayesian Updating;Credit Scoring;Filtration;Ego;Network