Browsing Faculty of Natural and Agricultural Sciences by Subject "Weighted logistic regression"

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Developing an impairment loss given default model using weighted logistic regression illustrated on a secured retail bank portfolio

Breed, Douw Gerbrand; Verster, Tanja; Schutte, Willem D.; Siddiqi, Naeem (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 ...