1. bookVolume 8 (2019): Issue 1 (January 2019)
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
access type Open Access

Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges

Published Online: 03 Jan 2019
Volume & Issue: Volume 8 (2019) - Issue 1 (January 2019)
Page range: 209 - 223
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
Abstract

This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance with IFRS 9. The framework rests on “term structure of probability of default” conditional to given forward-looking macroeconomic dynamics. Due to the one of the biggest limitation of forward-looking modelling – data availability, model averaging technique for quantification of macroeconomic effect on default probability is explained.

Keywords

JEL Classification

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