Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss

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dc.contributor.advisorRajaratnam, Kanshukanen_ZA
dc.contributor.advisorClark, Allanen_ZA
dc.contributor.authorMalwandla, Musaen_ZA
dc.date.accessioned2016-07-18T12:47:05Z
dc.date.available2016-07-18T12:47:05Z
dc.date.issued2016en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationMalwandla, M. (2016). <i>Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/20414en_ZA
dc.identifier.chicagocitationMalwandla, Musa. <i>"Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2016. http://hdl.handle.net/11427/20414en_ZA
dc.identifier.citationMalwandla, M. 2016. Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Malwandla, Musa AB - 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. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss TI - Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss UR - http://hdl.handle.net/11427/20414 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20414
dc.identifier.vancouvercitationMalwandla M. Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20414en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Statisticsen_ZA
dc.titleLoss distributions in consumer credit risk : macroeconomic models for expected and unexpected lossen_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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