Improving Credit Risk Assessment in Uncertain Times: Insights from IFRS 9
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F25%3A10510982" target="_blank" >RIV/00216208:11230/25:10510982 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OOu1H4svF8" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OOu1H4svF8</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/risks13020038" target="_blank" >10.3390/risks13020038</a>
Alternative languages
Result language
angličtina
Original language name
Improving Credit Risk Assessment in Uncertain Times: Insights from IFRS 9
Original language description
This study highlights the superior performance of Bayesian Model Averaging (BMA) in credit risk modeling under IFRS 9, particularly during economic uncertainty, such as the COVID-19 pandemic. Using granular bank-level data from Malta, spanning 2017-2023, the analysis integrates macroeconomic scenarios and sector-specific transition matrices to assess credit risk dynamics. Key findings demonstrate BMA's ability to outperform Single-Equation Models (SEM) in predictive accuracy, robustness, and adaptability. The results emphasize BMA's resilience to structural economic changes, making it a critical tool for regulatory stress testing and provisioning in small open economies highly exposed to external shocks. This work underscores the importance of forward-looking, flexible frameworks for credit risk management and policy decisions.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA23-05777S" target="_blank" >GA23-05777S: New challenges in macroprudential policies for the European insurance sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Risks
ISSN
2227-9091
e-ISSN
2227-9091
Volume of the periodical
13
Issue of the periodical within the volume
2
Country of publishing house
CH - SWITZERLAND
Number of pages
20
Pages from-to
38
UT code for WoS article
001430732200001
EID of the result in the Scopus database
2-s2.0-85219176155