4 papers
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…
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…
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…
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…