Browsing Journal Articles by Author "Ngare, Philip"

Browsing Journal Articles by Author "Ngare, Philip"

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  • Credit scoring with ego-network data 
    Sewe, Stanley; Ngare, Philip; Weke, Patrick (Scientific Research Publishing, 2019-08)
    This article investigates a stochastic filtering problem whereby the borrower’s hidden credit quality is estimated using ego-network signals. The hidden credit quality process is modeled as a mean reverting Ornstein-Ule ...
  • Dynamic credit quality evaluation with social network data 
    Sewe, Stanley; Ngare, Philip; Weke, Patrick (Hindawi, 2019-04)
    We investigate the filtering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender ...
  • Portfolio optimization for an insider under partial information 
    Sewe, Stanley; Ngare, Philip; Weke, Patrick (Elsevier, 2021-09)
    In this article, we seek to solve the problem of stochastic filtering of the unobserved drift of the stock price in the presence of privileged information. Working within a finite time investment horizon, the privileged ...

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