Work

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

Year: 2019

Type: article

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.

Source: Journal of Central Banking Theory and Practice

DOI: 10.2478/jcbtp-2019-0010

Author: Andrija Đurović

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W2909200172

FWCI: 4.243

Cites: 17

Cited by: 24

Related to: 10