Tid: 24 maj 2004 kl 1615-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Louise Hellqvist.

Titel: Default risk estimation of microfinance loans. (Examensarbete)

Sammanfattning: Spandana Microfinance Institute has been issuing loans to poor women in the district of Guntur, India, since 1997. The aim of this paper is to determine how different attributes of a loan affect the probability of default.

By assuming a proportional hazard model, a maximum likelihood estimator of the regression parameters was found. The variances corresponding to the estimators were determined by construction of the observed Fisher-information matrix. Finally, the significance of each regression parameter was established with a likelihood ratio test.

Due to problems such as linear dependence or near linear dependence in the data matrix and linear dependence of binary regression variables, the initial model had to be modified in various ways in order to attain accurate and reliable results. Modifications included both elimination and merging of regression variables.

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