Now showing items 1-4 of 4

    • A cross-sectional survival analysis regression model with applications to consumer credit risk 

      Marimo, Mercy; Breed, Douw Gerbrand; Malwandla, Musa Clive (SASA, 2017)
      When performing long-range survival estimations, longitudinal survival analysis methods such as Cox Proportional Hazards (PH) and accelerated lifetime models may produce estimates that are outdated. This paper introduces ...
    • Default weighted survival analysis to directly model loss given default 

      Joubert, Morne; Verster, Tanja; Raubenheimer, Helgard (SASA, 2018)
      Traditionally when predicting loss given default (LGD), the following models can be used: beta regression, inverse beta model, fractional response regression, ordinary least squares regression, survival analysis, run-off ...
    • The impact of systemic loss given default on economic capital 

      Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary (Klute Institute, 2017)
      Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that ...
    • Making use of survival analysis to indirectly model loss given default 

      Joubert, M.; Verster, T.; Raubenheimer, H. (Stellenbosch Univ, 2018)
      A direct or indirect modelling methodology can be used to predict Loss Given Default (LGD). When using the indirect LGD methodology, two components exist, namely, the loss severity component and the probability component. ...