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.
6. Carling, K., Jacobson, T. and Roszbach, K. (1998), Duration of consumer loans and bank lending policy: dormancy versus default risk, Working Pap eries in Economics and Finance No. 280, Stockholm School of Economics.