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Development of an impairment point in time probability of default model for revolving retail credit products : South African case study
Breed, Douw Gerbrand; Van Jaarsveld, Niel; Gerken, Carsten - In: Risks : open access journal 9 (2021) 11, pp. 1-22
A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...
Persistent link: https://www.econbiz.de/10012704964
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A forward-looking IFRS 9 methodology, focussing on the incorporation of macroeconomic and macroprudential information into expected credit loss calculation
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/liability in its financial statement, and includes an expected credit loss (ECL) framework for recognising impairment. The quantification of ECL is often broken down into its three...
Persistent link: https://www.econbiz.de/10014303642
Cover Image
Development of an impairment point in time probability of default model for revolving retail credit products: South African case study
Breed, Douw Gerbrand; van Jaarsveld, Niel; Gerken, Carsten - In: Risks 9 (2021) 11, pp. 1-22
A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...
Persistent link: https://www.econbiz.de/10013200870