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...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20414 |