Joubert, Morne; Verster, Tanja; Raubenheimer, Helgard; … - In: Risks : open access journal 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 … of in the expected credit losses (ECL). Our proposed IFRS 9 LGD methodology makes use of survival analysis to estimate …