August 2016

Semi-Markovian credit risk modeling for consumer loans: Evidence from Kenya

Based on simulations of implied values for credit worthiness over a period of 5 years for 1000 consumers, the study shows robustness of the Semi-Markovian models in forecasting Probabilities of Default and Loss Given Default for a portfolio of consumer loans. The study models credit risk as a reliability problem on the basis of which we generate credit risk indicators and quantify prospective capital holding based on...

Author(s): Wagacha Anthony and Ferdinand Othieno

August 2016

Macroeconomic variables and stock market performance of emerging countries

This article seeks to fill the gap of severe data limitations on the link between macroeconomic variables and stock market performance. A panel data of 41 emerging countries for the period 1996 to 2011 was used to estimate the results. The model used by Sangmi and Mubasher (2013) was adopted and modified to determine the effect of macroeconomic variables on stock market capitalization. The four techniques to investigate...

Author(s): Winful Christian Ernest, Sarpong David Jnr and Sarfo Adjei Kofi