Stress testing credit card portfolios: an application in South Africa
Stress testing credit card portfolios: an application in South Africa
Motivated by a real problem, this study aims to develop models to conduct stress testing on credit card portfolios. Two modelling approaches were extended to include the impact of lenders’ actions within the model. The first approach was a regression model of the aggregate losses based on economic variables with autocorrelations of the errors. The second approach was a set of vintage-level models that highlighted the months-on-book effect on credit losses. A case study using the models was described using South African credit card data. In this case, the models were used to stress test the credit card portfolio under several economic scenarios.
351-362
Seah, Y.
919461f8-d245-402e-9655-d14cd7490fa7
So, M.C.
c6922ccf-547b-485e-8b74-a9271e6225a2
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
2014
Seah, Y.
919461f8-d245-402e-9655-d14cd7490fa7
So, M.C.
c6922ccf-547b-485e-8b74-a9271e6225a2
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Seah, Y., So, M.C. and Thomas, Lyn C.
(2014)
Stress testing credit card portfolios: an application in South Africa.
Journal of the Operational Research Society, 65, .
(doi:10.1057/jors.2013.75).
Abstract
Motivated by a real problem, this study aims to develop models to conduct stress testing on credit card portfolios. Two modelling approaches were extended to include the impact of lenders’ actions within the model. The first approach was a regression model of the aggregate losses based on economic variables with autocorrelations of the errors. The second approach was a set of vintage-level models that highlighted the months-on-book effect on credit losses. A case study using the models was described using South African credit card data. In this case, the models were used to stress test the credit card portfolio under several economic scenarios.
Text
Stress Testing Second Revision - all document.pdf
- Accepted Manuscript
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Submitted date: 25 January 2012
Accepted/In Press date: 21 May 2013
e-pub ahead of print date: 24 July 2013
Published date: 2014
Organisations:
Southampton Business School
Identifiers
Local EPrints ID: 352955
URI: http://eprints.soton.ac.uk/id/eprint/352955
ISSN: 0160-5682
PURE UUID: 4d78ae7a-5560-4b5f-910e-aba58b2fbed3
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Date deposited: 28 May 2013 10:56
Last modified: 16 Mar 2024 03:55
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Contributors
Author:
Y. Seah
Author:
Lyn C. Thomas
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