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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: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2016
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