DOI: 10.24251/hicss.2018.170
View full text

Abstract: Financial institutions that provide loans are interested in understanding, as opposed to just predicting, the repayment behavior of its customers. This study applies a modified Hidden Markov Model (HMM) based clustering which clusters repayment sequences across selected subsets of the HMM parameters. We demonstrate that different implementations of this adaptation help us gain an in-depth understanding of various drivers that are hard to observe directly, but nevertheless govern repayment. These include driver…

expand abstract