Joubert, Morne; Verster, Tanja; Raubenheimer, Helgard; … - In: Risks : open access journal 9 (2021) 6, pp. 1-17
International Financial Reporting Standard (IFRS) 9 impairment requirements. The DWSA methodology allows for over recoveries …, default weighting and negative cashflows. For IFRS 9, this methodology should be adapted, as the estimated LGD is a function … of in the expected credit losses (ECL). Our proposed IFRS 9 LGD methodology makes use of survival analysis to estimate …