11 citations · 18 across the 5 of their papers we have counts for
5 papers
A cost of capital approach to determining the LGD discount rate
Janette Larney, Arno Botha, Gerrit Lodewicus Grobler +1
Loss Given Default (LGD) is a key risk parameter in determining a bank's regulatory capital. During LGD-estimation, realised recovery cash flows are to be discounted at an appropri…
Defining and comparing SICR-events for classifying impaired loans under IFRS 9
Arno Botha, Esmerelda Oberholzer, Janette Larney +1
The IFRS 9 accounting standard requires the prediction of credit deterioration in financial instruments, i.e., significant increases in credit risk (SICR). However, the definition…
The loss optimisation of loan recovery decision times using forecast cash flows
Arno Botha, Conrad Beyers, Pieter de Villiers
A theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimised. This is predicated by forecasting the fut…
Simulation-based optimisation of the timing of loan recovery across different portfolios
Arno Botha, Conrad Beyers, Pieter de Villiers
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding…
A procedure for loss-optimising default definitions across simulated credit risk scenarios
Arno Botha, Conrad Beyers, Pieter de Villiers
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a…