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

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.

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Year of publication:	2019
Authors:	Đurović, Andrija
Published in:	Journal of Central Banking Theory and Practice. - Warsaw : De Gruyter Open, ISSN 2336-9205. - Vol. 8.2019, 1, p. 209-223
Publisher:	Warsaw : De Gruyter Open
Subject:	IFRS 9 \| Term Structure of Probability of Default \| Point in Time Probability of Default \| Forward-looking \| Macroeconomic approach \| Model averaging

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.2478/jcbtp-2019-0010 [DOI] 1048882322 [GVK] hdl:10419/217671 [Handle] RePEc:cbk:journl:v:8:y:2019:i:1:p:209-223 [RePEc]
Classification:	G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions ; C41 - Duration Analysis
Source:	EconStor

Persistent link: https://www.econbiz.de/10012217906