Articlediamond2017

The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast

17 citations0/0 files storedActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

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Credit Risk and Financial Regulations Forecasting Techniques and Applications Financial Distress and Bankruptcy Prediction

Abstract

In this paper we propose a straightforward, flexible and intuitive computational framework for the multi-period probability of default estimation incorporating macroeconomic forecasts. The concept is based on Markov models, the estimated economic adjustment coefficient and the official economic forecasts of the Czech National Bank. The economic forecasts are taken into account in a separate step to better distinguish between idiosyncratic and systemic risk. This approach is also attractive from the interpretational point of view. The proposed framework can be used especially when calculating lifetime expected credit losses under IFRS 9.

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References

2008Introductory Econometrics for Finance 1997A Markov Model for the Term Structure of Credit Risk Spreads 2015Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research 1997Statistical Classification Methods in Consumer Credit Scoring: A Review 2006Multi-period corporate default prediction with stochastic covariates 2000A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers 2013Financial Stability Report 2013 2000Stability of rating transitions

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