A Review on the Probability of Default for IFRS 9

By means of a systematic literature review, we provide a comprehensive overview of 52 contributions on the estimation of the probability of default according to the "Expected Credit Loss Model" (ECLM) in IFRS~9 and the corresponding stage allocation. We distinguish the models discussed to estimate the probability of default with regard to the data they use as well as their time-space and state-space. Thus, we not only consider the merits and limitations of particular models in isolation, but also demonstrate how they are related to each other and where they differ. Due to the methodological diversity alone, it can be expected that loss allowances for expected credit losses will differ significantly across banks. In addition, we discuss the implementation of the stage allocation in the ECLM. Its inherent scope for discretion is likely to further amplify differences in the level of loss allowances across banks