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...
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
MDPI AG
2021-06-01
|
| Schriftenreihe: | Risks |
| Schlagworte: | |
| Online-Zugang: | https://www.mdpi.com/2227-9091/9/6/103 |
| Tags: |
Keine Tags, Fügen Sie das erste Tag hinzu!
|