Victor Gumbo
Mathematics Department, University Of Namibia
Retail Probability Of Default Modeling
This study develops a one-year probability of default prediction model for unsecured retail loan applicants for a particular top-tier Zimbabwean commercial bank. Banks need this model calculation for them to be internationally Basel II/III com- pliant. Binary logistic modelling was used on 10521 cases of which 2770 were defaulting and 7751 were non-defaulting. Retail credit risk parameters such as monthly

Victor Gumbo
Department Of Mathematics, University Of Namibia, Namibia.
Estimating Retail Loss Given Default – An Empirical Approach
With the advent of the new Basel Capital Accord, banking institutions are required to estimate credit risk capital requirements using internal ratings-based approach, subject to supervisory review. In order to be compliant with this approach, institutions must estimate the expected Loss Given Default (LGD), the fraction of the credit exposure that is lost if the borrower defaults. The flexibility to

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