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Review Oct 2026

Comparing two approaches for modelling the loss given default of credit cards: Run-off triangles vs regression

The use of run-off triangles (ROTs) is a common industry practice in estimating the loss given default (LGD) risk parameter when predicting credit losses in banking. We benchmark this industry practice using credit card data against a more sophisticated (though classical) regression-based approach, which is able to lev...

Arno Botha, Henko Crewe, M. Muller et al. · 0 citations

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