Have a personal or library account? Click to login
Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges Cover

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

Open Access
|Jan 2019

References

  1. 1. Allen, L. N. and Rose, L. C. (2006), Financial survival analysis of defaulted debtors, Journal of Operational Research Society, 57, 630-636.10.1057/palgrave.jors.2602038
  2. 2. Baba, N. and Goko, H. (2006), Survival analysis of hedge funds, Bank of Japan, Working Papers Series No. 06er S
  3. 3. Belkin, B., Suchower, S., Forest, L. R. (1998), A one-parameter representation of credit risk and transition matrices. Working paper, KPMG Peat Marwick LLP
  4. 4. Breeden, J. L. (2010), Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital, and Scoring for a World of Crises. Risk books, London
  5. 5. Brunel, V. (2016), Lifetime PD Analytics for Credit Portfolios: Retrieved from: https://ssrn.com/abstract=285718310.2139/ssrn.2857183
  6. 6. Carling, K., Jacobson, T. and Roszbach, K. (1998), Duration of consumer loans and bank lending policy: dormancy versus default risk, Working Pap eries in Economics and Finance No. 280, Stockholm School of Economics.
  7. 7. Cheong, M., Tripolitakis, G., Ma, H., (2017), Using CreditPro To Measure Credit Losses In Investment Portfolios For IFRS 9 And CECL Requirements, Retrieved from: https://marketintelligence.spglobal.com/documents/our-thinking/research/IFRS9_CECL_Requirements_Whitepaper_June2017.pdf
  8. 8. Clemen, R.T., (1989), Combining Forecasts: A Review and Annotated Bibliography. International Journal of Forecasting 5, 559-581.10.1016/0169-2070(89)90012-5
  9. 9. Conze, A. (2015), Probabilities of Default for Impairment Under IFRS 9. Retrieved from: https://ssrn.com/abstract=268509910.2139/ssrn.2685099
  10. 10. Freedman, D.A. (1983), A note on screening regression equations. The American Statistician 37: 152–15510.1080/00031305.1983.10482729
  11. 11. Glennon, D. and Nigro, P. (2005), Measuring the default risk of small business loans: a survival analysis approach, Journal of Money, Credit, and Banking, 37, 923-947.10.1353/mcb.2005.0051
  12. 12. IASB, (2014), International Financial Reporting Standard 9 Financial instruments, International Accounting Standards Board.
  13. 13. Lukacs P.M., Burnham K.P., Anderson D.R. (2010), Model selection bias and Freedman’s paradox, Ann Inst Stat Math 62:117–12510.1007/s10463-009-0234-4
  14. 14. Malik, M. and Thomas L. (2006), Modelling credit risk of portfolio of consumer loans, University of Southampton, School of Management Working Paper Series No. CORMSIS-07-12.10.2139/ssrn.1287845
  15. 15. Narain, B. (1992). Survival analysis and the credit granting decision. In: Thomas L., Crook, J. N. And Edelman, D. B. (eds.). Credit Scoring and Credit Control. OUP: Oxford, 109-121.
  16. 16. Roszbach, K. (2003). Bank lending policy, credit scoring and the survival of loans, Sverriges Riksbank Working Paper Series No. 154.10.2139/ssrn.488522
  17. 17. Stock, J.H., Watson M., (2004), Combination Forecasts of Output Growth in a Seven-Country Data Set. Journal of Forecasting 23, 405-43010.1002/for.928
  18. 18. Stock, J.H., Watson, M., (2001), A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series. Pages 1-44 In R.F. Engle and H. White (eds).10.1093/oso/9780198296836.003.0001
  19. 19. Timmermann, A.G., (2005), Forecast Combinations CEPR Discussion Paper No. 5361. Retrieved from: https://ssrn.com/abstract=878546
  20. 20. Todorovic, Z. (2018), Application of Ethics in the Accounting Profession with an Overview of the Banking Sector, Journal of Central Banking Theory and Practice, 2018, 3, pp. 139 - 15810.2478/jcbtp-2018-0027
  21. 21. Xu, X. (2016), Estimating Lifetime Expected Credit Losses Under IFRS 9, Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=275851310.2139/ssrn.2758513
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

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