Schutte, Willem Daniel; Verster, Tanja; Doody, Derek; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27
The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The proposed methodology is described by first...