Articlediamond2019

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

24 citations0/0 files storedJournal of Central Banking Theory and Practice

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Financial Distress and Bankruptcy Prediction

Abstract

Abstract 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.

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References

1989Combining forecasts: A review and annotated bibliography 1990Combining forecasts: A review and annotated bibliography 2004Combination forecasts of output growth in a seven‐country data set 1999A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series 2005Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach 2004Survival analysis and the credit-granting decision 2005Financial survival analysis of defaulted debtors 2004Bank Lending Policy, Credit Scoring and the Survival of Loans

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2021How to estimate expected credit losses – ECL – for provisioning under IFRS 9 2021Issues and challenges of IFRS 9 in Malaysian Islamic financial institutions: recognition criteria perspective

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