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NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa
Forecasting nonperforming loans (NPLs) is a primary objective for credit providers. NPL forecasts assist in financial budgeting and provisioning for bad debts. The difficulty in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This d...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2017
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| _version_ | 1867613297811914752 |
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| access_status_str | Open Access |
| author | Luckan, Pranisha |
| author2 | Huang, Chun-Sung |
| author_browse | Huang, Chun-Sung Luckan, Pranisha |
| author_facet | Huang, Chun-Sung Luckan, Pranisha |
| author_sort | Luckan, Pranisha |
| collection | Thesis |
| description | Forecasting nonperforming loans (NPLs) is a primary objective for credit providers. NPL forecasts assist in financial budgeting and provisioning for bad debts. The difficulty in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This dissertation explores whether a forecasting model combining a traditional time series approach with a Fourier series residual modification technique performs well in projecting NPLs. It also seeks to establish if selecting an adequate time series model before modifying its residual terms is of benefit. Using the data of an unsecured consumer credit provider in South Africa, the in-sample and out-of-sample performance for a seasonal time series model and residual modified model were evaluated. The results demonstrate that a time series model performs well but the out-of-sample forecasting errors may be reduced by including the lowest Fourier frequencies to modify the residual terms. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/22856 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:54.099Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/22856 NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa Luckan, Pranisha Huang, Chun-Sung Financial Management Forecasting nonperforming loans (NPLs) is a primary objective for credit providers. NPL forecasts assist in financial budgeting and provisioning for bad debts. The difficulty in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This dissertation explores whether a forecasting model combining a traditional time series approach with a Fourier series residual modification technique performs well in projecting NPLs. It also seeks to establish if selecting an adequate time series model before modifying its residual terms is of benefit. Using the data of an unsecured consumer credit provider in South Africa, the in-sample and out-of-sample performance for a seasonal time series model and residual modified model were evaluated. The results demonstrate that a time series model performs well but the out-of-sample forecasting errors may be reduced by including the lowest Fourier frequencies to modify the residual terms. 2017-01-20T10:35:22Z 2017-01-20T10:35:22Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/22856 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Management Luckan, Pranisha NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| thesis_degree_str | Master's |
| title | NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| title_full | NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| title_fullStr | NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| title_full_unstemmed | NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| title_short | NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa |
| title_sort | npl forecasting under a fourier residual modified model an empirical analysis of an unsecured consumer credit provider in south africa |
| topic | Financial Management |
| url | http://hdl.handle.net/11427/22856 |
| work_keys_str_mv | AT luckanpranisha nplforecastingunderafourierresidualmodifiedmodelanempiricalanalysisofanunsecuredconsumercreditproviderinsouthafrica |