Breed, Douw Gerbrand; Hurter, Jacques; Marimo, Mercy; … - In: Risks : open access journal 11 (2023) 3, pp. 1-16
The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset … (LGD), and exposure at default (EAD). The IFRS 9 standard requires that the ECL model accommodates the influence of the … on impairments. This paper proposes a methodology based on principal component regression (PCR) to adjust IFRS 9 PD term …