<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></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.

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

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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...

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

Data publikacji: 03 sty 2019

Zakres stron: 209 - 223

DOI: https://doi.org/10.2478/jcbtp-2019-0010

Słowa kluczowe
IFRS 9, Term Structure of Probability of Default, Point in Time Probability of Default, Forward-looking, Macroeconomic approach, Model averaging

© 2019 Andrija Đurović, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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

Data publikacji: 03 sty 2019

Zakres stron: 209 - 223

DOI: https://doi.org/10.2478/jcbtp-2019-0010

Słowa kluczoweIFRS 9, Term Structure of Probability of Default, Point in Time Probability of Default, Forward-looking, Macroeconomic approach, Model averaging

© 2019 Andrija Đurović, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Słowa kluczowe
IFRS 9, Term Structure of Probability of Default, Point in Time Probability of Default, Forward-looking, Macroeconomic approach, Model averaging