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Development and comparison of payment behaviour prediction models for two South African state departments

Fourie, Erika; Verster, Tanja; Van Vuuren, Gary - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011778244

Development of an impairment point in time probability of default model for revolving retail credit products : South African case study

Breed, Douw Gerbrand; Van Jaarsveld, Niel; Gerken, Carsten - In: Risks : open access journal 9 (2021) 11, pp. 1-22

A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...

Persistent link: https://www.econbiz.de/10012704964