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Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD

Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival analysis to model LGD, a proposed methodology is the default weighted survival analysis (DWSA) method. This paper is aimed at adapting the DW...

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Main Authors: Morne Joubert, Tanja Verster, Helgard Raubenheimer, Willem D. Schutte
Format: Artigo
Language:Inglês
Published: MDPI AG 2021-06-01
Series:Risks
Subjects:
loss given default
survival analysis
IFRS 9
Online Access:https://www.mdpi.com/2227-9091/9/6/103
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