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

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

Journal of Central Banking Theory and Practice

Volume 8 (2019): Issue 1 (January 2019)

By: Andrija Đurović

Open Access

|Jan 2019

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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Articles in this issue

DOI: https://doi.org/10.2478/jcbtp-2019-0010 | Journal eISSN: 2336-9205

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Language: English

Page range: 209 - 223

Published on: Jan 3, 2019

Published by: Central Bank of Montenegro

In partnership with: Paradigm Publishing Services

Publication frequency: 3 issues per year

Keywords:

Term Structure of Probability of Default,

Point in Time Probability of Default,

Forward-looking,

Macroeconomic approach,

Model averaging

Related subjects:

Business and economics,

Business management,

Business management, other

© 2019 Andrija Đurović, published by Central Bank of Montenegro
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Volume 8 (2019): Issue 1 (January 2019)

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