Simulation-based optimisation of the timing of loan recovery across different portfolios

Author:

Botha Arno,Beyers Conrad,de Villiers Pieter

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference36 articles.

1. Credit risk analytics: Measurement techniques, applications, and examples in SAS;Baesens,2016

2. Basel Committee on Banking Supervision (2006). International convergence of capital measurement and capital standards: A revised framework, comprehensive version. Basel, Switzerland, Bank for International Settlements.

3. Board of Governors of the Federal Reserve System (2020). Households and Nonprofit Organisations; Oneto-Four-Family Residential Mortgages; Liability, Level [HHMSDODNS] (tech. rep.). Federal Reserve Bank of St. Louis. Retrieved October 24, 2020, from https://fred.stlouisfed.org/series/HHMSDODNS.

4. Botha, A. (2020). Simulation-based optimisation of the timing of loan recovery across different portfolios: The LROD-procedure [Source Code]. Zenodo. https://doi.org/10.5281/zenodo.4005703.

5. Botha, A., Beyers, C. & De Villiers, P. (2020). The loss optimisation of loan recovery decision times using forecast cash flows. Accepted by the Journal of Credit Risk. Retrieved October 12, 2020, from https://arxiv.org/abs/2010.05601.

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