Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss
This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporate...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2016
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867614355606994944 |
|---|---|
| access_status_str | Open Access |
| author | Malwandla, Musa |
| author2 | Rajaratnam, Kanshukan |
| author_browse | Malwandla, Musa Rajaratnam, Kanshukan |
| author_facet | Rajaratnam, Kanshukan Malwandla, Musa |
| author_sort | Malwandla, Musa |
| collection | Thesis |
| description | This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporated into a credit risk model through logistic regression models and threshold regression models. Considering the fact that the specification of a credit risk model is influenced by its purpose, the thesis considers the IFRS 7 and IFRS 9 accounting requirements for impairment disclosure as well as Basel II regulatory prescriptions for capital requirements. The thesis presents a critique of the unexpected loss calculation under Basel II by considering the different ways in which loans can correlate within a portfolio. Two distributions of portfolio losses are derived. The Vašíček distribution, which is the assumed in Basel II requirements, was originally derived for corporate loans and was never adapted for application in consumer credit. This makes it difficult to interpret and validate the correlation parameters prescribed under Basel II. The thesis re-derives the Vašíček distribution under a threshold regression model that is specific to consumer credit risk, thus providing a way to estimate the model parameters from observed experience. The thesis also discusses how, if the probability of default is modelled through logistic regression, the portfolio loss distribution can be modelled as a log-log-normal distribution. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20414 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:50:43.894Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20414 Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss Malwandla, Musa Rajaratnam, Kanshukan Clark, Allan Mathematical Statistics This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporated into a credit risk model through logistic regression models and threshold regression models. Considering the fact that the specification of a credit risk model is influenced by its purpose, the thesis considers the IFRS 7 and IFRS 9 accounting requirements for impairment disclosure as well as Basel II regulatory prescriptions for capital requirements. The thesis presents a critique of the unexpected loss calculation under Basel II by considering the different ways in which loans can correlate within a portfolio. Two distributions of portfolio losses are derived. The Vašíček distribution, which is the assumed in Basel II requirements, was originally derived for corporate loans and was never adapted for application in consumer credit. This makes it difficult to interpret and validate the correlation parameters prescribed under Basel II. The thesis re-derives the Vašíček distribution under a threshold regression model that is specific to consumer credit risk, thus providing a way to estimate the model parameters from observed experience. The thesis also discusses how, if the probability of default is modelled through logistic regression, the portfolio loss distribution can be modelled as a log-log-normal distribution. 2016-07-18T12:47:05Z 2016-07-18T12:47:05Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/20414 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Statistics Malwandla, Musa Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| thesis_degree_str | Master's |
| title | Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| title_full | Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| title_fullStr | Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| title_full_unstemmed | Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| title_short | Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss |
| title_sort | loss distributions in consumer credit risk macroeconomic models for expected and unexpected loss |
| topic | Mathematical Statistics |
| url | http://hdl.handle.net/11427/20414 |
| work_keys_str_mv | AT malwandlamusa lossdistributionsinconsumercreditriskmacroeconomicmodelsforexpectedandunexpectedloss |