Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217671 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 8 [Issue:] 1 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2019 [Pages:] 209-223
Publisher: 
De Gruyter Open, Warsaw
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.
Subjects: 
IFRS 9
Term Structure of Probability of Default
Point in Time Probability of Default
Forward-looking
Macroeconomic approach
Model averaging
JEL: 
G11
G23
C41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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