Search Results - person:"Joubert, Morne"

Adapting the default weighted survival analysis modelling approach to model IFRS 9 LGD

Joubert, Morne; Verster, Tanja; Raubenheimer, Helgard; … - In: Risks 9 (2021) 6, pp. 1-17

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...

Persistent link: https://www.econbiz.de/10013200771

Adapting the default weighted survival analysis modelling approach to model IFRS 9 LGD

Joubert, Morne; Verster, Tanja; Raubenheimer, Helgard; … - In: Risks : open access journal 9 (2021) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10012597134

A critical review of the Basel margin of conservatism requirement in a retail credit context

De Jongh, Riaan; Verster, Tanja; Reynolds, Elzabe; … - In: International business and economics research journal 16 (2017) 4, pp. 257-273

Persistent link: https://www.econbiz.de/10011965158