collaborators

1 paper

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…