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q-fin.RM2025
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…
q-fin.RM2025★ 1 cited
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…
q-fin.RM2025
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…