1 citations · 1 across the 5 of their papers we have counts for
3 papers · 1 filter
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…