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Quantitative models for prudential credit risk management
The thesis investigates the exogenous maturity vintage model (EMV) as a framework for achieving unification in consumer credit risk analysis. We explore how the EMV model can be used in origination modelling, impairment analysis, capital analysis, stress-testing and in the assessment of economic val...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2021
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