3 papers
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…
q-fin.RM2025
A cost of capital approach to determining the LGD discount rate
Janette Larney, Arno Botha, Gerrit Lodewicus Grobler +1
Loss Given Default (LGD) is a key risk parameter in determining a bank's regulatory capital. During LGD-estimation, realised recovery cash flows are to be discounted at an appropri…
q-fin.RM2025
Defining and comparing SICR-events for classifying impaired loans under IFRS 9
Arno Botha, Esmerelda Oberholzer, Janette Larney +1
The IFRS 9 accounting standard requires the prediction of credit deterioration in financial instruments, i.e., significant increases in credit risk (SICR). However, the definition…