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

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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Bibliographic Details
Main Author: Đurović Andrija
Format: Article
Language:English
Published: Sciendo 2019-01-01
Series:Journal of Central Banking Theory and Practice
Subjects:
ifrs 9
term structure of probability of default
point in time probability of default
forward-looking
macroeconomic approach
model averaging
g11
g23
c41
Online Access:https://doi.org/10.2478/jcbtp-2019-0010
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spelling doaj-496fc1dd1f3547cca5f9e8f7fde62ec02021-09-06T19:41:33ZengSciendoJournal of Central Banking Theory and Practice2336-92052019-01-018120922310.2478/jcbtp-2019-0010jcbtp-2019-0010Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 ChallengesĐurović Andrija0BRD – Groupe Societe Generale, Bucharest, RomaniaThis 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.https://doi.org/10.2478/jcbtp-2019-0010ifrs 9term structure of probability of defaultpoint in time probability of defaultforward-lookingmacroeconomic approachmodel averagingg11g23c41
collection DOAJ
language English
format Article
sources DOAJ
author Đurović Andrija
spellingShingle Đurović Andrija
Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
Journal of Central Banking Theory and Practice
ifrs 9
term structure of probability of default
point in time probability of default
forward-looking
macroeconomic approach
model averaging
g11
g23
c41
author_facet Đurović Andrija
author_sort Đurović Andrija
title Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
title_short Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
title_full Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
title_fullStr Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
title_full_unstemmed Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges
title_sort macroeconomic approach to point in time probability of default modeling – ifrs 9 challenges
publisher Sciendo
series Journal of Central Banking Theory and Practice
issn 2336-9205
publishDate 2019-01-01
description 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.
topic ifrs 9
term structure of probability of default
point in time probability of default
forward-looking
macroeconomic approach
model averaging
g11
g23
c41
url https://doi.org/10.2478/jcbtp-2019-0010
work_keys_str_mv AT đurovicandrija macroeconomicapproachtopointintimeprobabilityofdefaultmodelingifrs9challenges
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