collaborators

1 paper

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…