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Mnb One Credit-Card Portfolio

8 Pages Posted: 21 Oct 2008  

Samuel E. Bodily

University of Virginia - Darden School of Business

Jason Hull

University of Virginia - Darden School of Business

William T. Scherer

University of Virginia

Abstract

A credit-card company must value portfolios of customers based on their future earnings. The payment characteristics of customers serve to classify them into states. This case can be the basis for discussing state dynamics over time in a Markov process. Students can gain an understanding of how portfolios that look good in the present may not be favorable in the long term, and how to find and use steady-state probabilities. Students can also see how changing transition probabilities affect steady-state distributions.

Keywords: banking, financial services

JEL Classification:

Suggested Citation

Bodily, Samuel E. and Hull, Jason and Scherer, William T., Mnb One Credit-Card Portfolio. , Vol. , pp. 1-9, . Available at SSRN: https://ssrn.com/abstract=912031

Samuel E. Bodily (Contact Author)

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4813 (Phone)
434-293-7677 (Fax)

HOME PAGE: http://www.darden.virginia.edu/faculty/bodily.htm

Jason Hull

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States

William T. Scherer

University of Virginia ( email )

United States

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