11 citations · 27 across the 10 of their papers we have counts for
10 papers
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…
The loss optimisation of loan recovery decision times using forecast cash flows
Arno Botha, Conrad Beyers, Pieter de Villiers
A theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimised. This is predicated by forecasting the fut…
Simulation-based optimisation of the timing of loan recovery across different portfolios
Arno Botha, Conrad Beyers, Pieter de Villiers
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding…
Deep Learning and Statistical Models for Time-Critical Pedestrian Behaviour Prediction
Joel Janek Dabrowski, Johan Pieter de Villiers, Ashfaqur Rahman +1
The time it takes for a classifier to make an accurate prediction can be crucial in many behaviour recognition problems. For example, an autonomous vehicle should detect hazardous…
A procedure for loss-optimising default definitions across simulated credit risk scenarios
Arno Botha, Conrad Beyers, Pieter de Villiers
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a…
A framework for simulating systemic risk and its application to the South African banking sector
Nadine M Walters, Conrad Beyers, Gusti van Zyl +1
We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a…