no code implementations • 12 Oct 2020 • Arno Botha, Conrad Beyers, Pieter de Villiers
As a result, the recovery decision's implied timing is empirically illustrated as a multi-period optimisation problem across uncertain cash flows and competing costs.
no code implementations • 21 Sep 2020 • Arno Botha, Conrad Beyers, Pieter de Villiers
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery.
no code implementations • 26 Feb 2020 • Joel Janek Dabrowski, Johan Pieter de Villiers, Ashfaqur Rahman, Conrad Beyers
We show that, though the neural network model achieves an accuracy of 80%, it requires long sequences to achieve this (100 samples or more).
no code implementations • 29 Jul 2019 • Arno Botha, Conrad Beyers, Pieter de Villiers
The results show that loss minima can exist for a select range of credit risk profiles, which suggests that the loss optimisation of default thresholds can become a viable practice.