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...
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| Format: | Article |
| Language: | English |
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Sciendo
2019-01-01
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| Series: | Journal of Central Banking Theory and Practice |
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| Online Access: | https://doi.org/10.2478/jcbtp-2019-0010 |