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...

Popoln opis

Bibliografske podrobnosti

Principais autores:	Morne Joubert, Tanja Verster, Helgard Raubenheimer, Willem D. Schutte
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2021-06-01
Serija:	Risks
Teme:	loss given default survival analysis IFRS 9
Online dostop:	https://www.mdpi.com/2227-9091/9/6/103
Oznake:	Označite Brez oznak, prvi označite!