3 papers
q-fin.RM2026
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…
q-fin.CP2026
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…
q-fin.RM2026
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…