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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| Auteurs principaux: | , , , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
MDPI AG
2021-06-01
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| Collection: | Risks |
| Sujets: | |
| Accès en ligne: | https://www.mdpi.com/2227-9091/9/6/103 |
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