6 papers
An extendable, integrated, and dynamic approach to forecasting and stress-testing credit risk
Marcel Muller, Arno Botha, Conrad Beyers
An integrated and extendable approach for stress-testing loan portfolios is presented, which includes both a loan production component and a credit risk component. In this approach…
Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework
Arno Botha, Tanja Verster, Roland Breedt
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present…
Deriving the term-structure of loan write-off risk under IFRS 9 by using survival analysis: A benchmark study
Arno Botha, Mohammed Gabru, Marcel Muller +1
The estimation of marginal loan write-off probabilities is a non-trivial task when modelling the loss given default (LGD) risk parameter in credit risk. We explore two types of sur…
Exploring different subtypes of recurrent event Cox-regression models in modelling lifetime default risk: A tutorial
Arno Botha, Tanja Verster, Bernard Scheepers
In the pursuit of modelling a loan's probability of default (PD) over its lifetime, repeat default events are often ignored when using Cox Proportional Hazard (PH) models. Excludin…
Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis
Arno Botha, Tanja Verster
Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicit…
The TruEnd-procedure: Treating trailing zero-valued balances in credit data
Arno Botha, Tanja Verster, Roelinde Bester
A novel procedure is presented for finding the true but latent endpoints within the repayment histories of individual loans. The monthly observations beyond these true endpoints ar…