NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa

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dc.contributor.advisorHuang, Chun-Sungen_ZA
dc.contributor.authorLuckan, Pranishaen_ZA
dc.date.accessioned2017-01-20T10:35:22Z
dc.date.available2017-01-20T10:35:22Z
dc.date.issued2016en_ZA
dc.description.abstractForecasting 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.en_ZA
dc.identifier.apacitationLuckan, P. (2016). <i>NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/22856en_ZA
dc.identifier.chicagocitationLuckan, Pranisha. <i>"NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/22856en_ZA
dc.identifier.citationLuckan, P. 2016. NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Luckan, Pranisha AB - 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. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa TI - NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa UR - http://hdl.handle.net/11427/22856 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/22856
dc.identifier.vancouvercitationLuckan P. NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/22856en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Managementen_ZA
dc.titleNPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africaen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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