Browsing School of Pure and Applied Sciences by Author "Mwita, Peter"

Now showing items 1-4 of 4

    • Conditional Dependence Modellingwith Regular Vine Copulas 

      Omari, Cyprian; Mwita, Peter; Waititu, Anthony (Journal of Statistical and Econometric Methods, 2019)
      Modelling sophisticated high-dimensional dependence structures forfinancial assets in a portfolio framework require flexible dependencemodels. In this paper, a regular vine-copula based model is employed toanalyze financial ...

    • Modelling Credit Risk for Personal Loans Using Product-Limit Estimator 

      Wekesa, Okumu A.; Mwalili, Samuel; Mwita, Peter (International Journal of Financial Research, 2012-01-05)
      A product- limit approach was adopted to estimate time to default for male and female loan applicants. For each group, a sample of 250 applicants was observed for a 30 months. The life of the account is measured from the ...

    • Modelling credit risk for personal loans: Cox Proportional Hazards Model Approach 

      Wekesa, Okumu A.; Mwalili, Samuel; Mwita, Peter (Pushpa Publishing House, 2012-08)
      A proportional hazards model approach was adopted to estimate risk of default for loan applicants. A sample of 500 applicants was observed for 36 months. The life of the account is measured from the month, it was opened ...

    • Optimal threshold determination based on the meanexcess plot 

      Chukwudum, Queensley C.; Mwita, Peter; Mung’atu, Joseph K. (Taylor and Francis Group, 2019)
      Choosing a suitable threshold has been an issue in practice. Based on the mean excess plot (MEP), the eyeball inspection approach(EIA) is mainly used to determine the threshold. This involves fitting the threshold at the ...