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A particular Triplet Markov Model (TMM) is presented and introduced to describe the dynamic repayment behavior of consumers. The particular TMM can simultaneously capture the phases of business cycles, transition of systematic credit risk of a loan portfolio, and Markov repayment behavior of consumers. The corresponding Markov chain Monte Carlo algorithms of the particular TMM are also developed for estimating the model parameters. We show how the transition of consumers\u2019 repayment states and systematic credit risk of a loan portfolio are affected by the phases of business cycles through simulations.<\/jats:p>","DOI":"10.1155\/2020\/5458941","type":"journal-article","created":{"date-parts":[[2020,1,19]],"date-time":"2020-01-19T18:30:17Z","timestamp":1579458617000},"page":"1-11","source":"Crossref","is-referenced-by-count":4,"title":["Modeling Repayment Behavior of Consumer Loan in Portfolio across Business Cycle: A Triplet Markov Model Approach"],"prefix":"10.1155","volume":"2020","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7817-4033","authenticated-orcid":true,"given":"Shou","family":"Chen","sequence":"first","affiliation":[{"name":"School of Business and Administration, Hunan University, Changsha 410082, China"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-9611-930X","authenticated-orcid":true,"given":"Xiangqian","family":"Jiang","sequence":"additional","affiliation":[{"name":"School of Business and Administration, Hunan University, Changsha 410082, China"}]}],"member":"311","reference":[{"key":"1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.8.3.287"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1086\/295042"},{"key":"3","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.24.7.732"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.2307\/3665204"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.01.007"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2015.03.008"},{"key":"7","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1080\/14697680500039951","volume":"5","year":"2005","journal-title":"Quantitative Finance"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423x.2008.00232.x"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1007\/s11222-012-9323-y"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.1057\/jors.2012.181"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2017.07.051"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-017-1247-0"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2868777"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2018.09.023"},{"key":"15","doi-asserted-by":"crossref","first-page":"58","DOI":"10.1117\/12.463183","volume":"4885","year":"2003","journal-title":"Image and Signal Processing for Remote Sensing VIII"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1016\/j.sigpro.2007.10.015"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.1109\/TPAMI.2014.2327974"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1016\/j.sigpro.2017.12.006"},{"key":"20","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177699147"},{"key":"21","doi-asserted-by":"publisher","DOI":"10.1002\/asmb.2191"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.1155\/2018\/4329053"},{"key":"23","doi-asserted-by":"publisher","DOI":"10.1155\/2018\/9728264"},{"issue":"11","key":"24","doi-asserted-by":"crossref","first-page":"2569","DOI":"10.1080\/03610929908832439","volume":"28","year":"1999","journal-title":"Communications in Statistics - Theory and Methods"},{"key":"25","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"26","doi-asserted-by":"publisher","DOI":"10.1016\/s0378-4266(01)00229-1"},{"key":"27","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2013.12.026"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.1155\/2002\/683164"}],"container-title":["Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/5458941.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/5458941.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/complexity\/2020\/5458941.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,1,19]],"date-time":"2020-01-19T18:30:22Z","timestamp":1579458622000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/complexity\/2020\/5458941\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,1,19]]},"references-count":27,"alternative-id":["5458941","5458941"],"URL":"https:\/\/doi.org\/10.1155\/2020\/5458941","relation":{},"ISSN":["1076-2787","1099-0526"],"issn-type":[{"type":"print","value":"1076-2787"},{"type":"electronic","value":"1099-0526"}],"subject":[],"published":{"date-parts":[[2020,1,19]]}}}