Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD

Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival model LGD, a proposed methodology weighted (DWSA) method. This paper aimed at adapting DWSA method (used Basel LGD) estimate LGD International Financial Reporting Standard (IFRS) 9 impairment requirements. The allows over recoveries, weighting and negative cashflows. For IFRS 9, this should adapted, as estimated function in expected credit losses (ECL). Our makes use LGD. Cox proportional hazards baseline curve adjusted produce curves different segments portfolio. forward-looking values are macro-economic scenarios ECL calculated each scenario. These probability final estimate. We illustrate our estimation on dataset from retail portfolio South African bank.