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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書目詳細資料

Principais autores:	Morne Joubert, Tanja Verster, Helgard Raubenheimer, Willem D. Schutte
格式:	Artigo
語言:	Inglês
出版:	MDPI AG 2021-06-01
叢編:	Risks
主題:	loss given default survival analysis IFRS 9
在線閱讀:	https://www.mdpi.com/2227-9091/9/6/103
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