Browsing by Subject "Loss given default"
Now showing items 1-6 of 6
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A cross-sectional survival analysis regression model with applications to consumer credit risk
(SASA, 2017)When performing long-range survival estimations, longitudinal survival analysis methods such as Cox Proportional Hazards (PH) and accelerated lifetime models may produce estimates that are outdated. This paper introduces ... -
Default weighted survival analysis to directly model loss given default
(SASA, 2018)Traditionally when predicting loss given default (LGD), the following models can be used: beta regression, inverse beta model, fractional response regression, ordinary least squares regression, survival analysis, run-off ... -
Developing an impairment loss given default model using weighted logistic regression illustrated on a secured retail bank portfolio
(MDPI, 2019)This paper proposes a new method to model loss given default (LGD) for IFRS 9 purposes. We develop two models for the purposes of this paper—LGD1 and LGD2. The LGD1 model is applied to the non-default (performing) accounts ... -
Estimation techniques for deriving the Basel and IFRS 9 LGD estimates on retail bank portfolios
(North-West University (South Africa), 2019)A stable financial system is essential for growth in banks. A financial crisis can damage banks, as was seen in the financial crisis of 2008. Banks are subject to government regulation to reduce the risk of future financial ... -
The impact of systemic loss given default on economic capital
(Klute Institute, 2017)Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that ... -
Making use of survival analysis to indirectly model loss given default
(Stellenbosch Univ, 2018)A direct or indirect modelling methodology can be used to predict Loss Given Default (LGD). When using the indirect LGD methodology, two components exist, namely, the loss severity component and the probability component. ...