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

Author

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  • Andrija Đurović

    (BRD – Groupe Societe Generale, Bucharest, Romania)

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.

Suggested Citation

  • Andrija Đurović, 2019. "Macroeconomic Approach to Point in Time Probability of Default Modeling – IFRS 9 Challenges," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 8(1), pages 209-223.
    • Handle: RePEc:cbk:journl:v:8:y:2019:i:1:p:209-223
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    File URL: http://www.cbcg.me/repec/cbk/journl/vol8no1-10.pdf
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    Cited by:

    1. Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.

    More about this item

    Keywords

    IFRS 9; Term Structure of Probability of Default; Point in Time Probability of Default; Forward-looking; Macroeconomic approach; Model averaging;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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