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Activity Number:
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65
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Type:
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Contributed
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Date/Time:
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Sunday, August 3, 2008 : 4:00 PM to 5:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #302368 |
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Title:
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Modeling the Dynamic of Consumer Credit Utilization
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Author(s):
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Jie Chen*+ and Agus Sudjianto and Runze Li and Richard Liu
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Companies:
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Bank of America, N.A. and Bank of America, N.A. and The Pennsylvania State University and Bank of America, N.A.
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Address:
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201 N Tryon Street, Charlotte, NC, 28202,
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Keywords:
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growth ; consumer credit ; differential equation ; latent process ; dynamics
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Abstract:
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We model the dynamics of consumer credit utilization as a mixture of two latent processes representing unobserved underlying consumer behaviors. The latent processes are represented by a set of differential equations to capture two distinct growth characteristics of credit utilization. The model is also expanded to capture the effect of time-varying exogenous economic covariates. The framework is applied to a large portfolio of consumer credit. The model goodness of fit and its parameter estimation properties are investigated.
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