Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges-Reference-Cited by-同舟云学术

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

Published:2019-01-01 Issue:1 Volume:8 Page:209-223
ISSN:2336-9205
Container-title:Journal of Central Banking Theory and Practice
language:en
Short-container-title:

Author:

Đurović Andrija¹

Affiliation:

1. BRD – Groupe Societe Generale , Bucharest , Romania

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

Strategy and Management,Economics and Econometrics,Finance

Link

https://www.sciendo.com/pdf/10.2478/jcbtp-2019-0010

Reference21 articles.

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