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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.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…