Search Results - subject:"Point in Time Probability of Default"

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

Đurović, Andrija - In: Journal of Central Banking Theory and Practice 8 (2019) 1, pp. 209-223

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...

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

Macroeconomic approach to point in time probability of default modeling : IFRS 9 challenges

Đurović, Andrija - In: Journal of central banking theory and practice 8 (2019) 1, pp. 209-233

Persistent link: https://www.econbiz.de/10011965251

IFRS 9 compliant economic adjustment of expected credit loss modeling

Gubareva, Mariya - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 29-66

Persistent link: https://www.econbiz.de/10012298993