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q-fin.RM2025
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…
q-fin.RM2019
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…