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

Andrija Đurović ()
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Andrija Đurović: BRD – Groupe Societe Generale, Bucharest, Romania

Journal of Central Banking Theory and Practice, 2019, vol. 8, issue 1, 209-223

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.

Keywords: IFRS 9; Term Structure of Probability of Default; Point in Time Probability of Default; Forward-looking; Macroeconomic approach; Model averaging (search for similar items in EconPapers)
JEL-codes: C41 G11 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:8:y:2019:i:1:p:209-223

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