1 citations · 1 across the 5 of their papers we have counts for
7 papers
Comparing two approaches for modelling the loss given default of credit cards: Run-off triangles vs regression
Arno Botha, Henko Crewe, Marcel Muller +1
The use of run-off triangles (ROTs) is a common industry practice in estimating the loss given default (LGD) risk parameter when predicting credit losses in banking. We benchmark t…
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…
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…
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…