Economic Adjustment of Default Probabilities

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F16%3A43910613" target="_blank" >RIV/62156489:43110/16:43910613 - isvavai.cz</a>

Result on the web

<a href="https://www.ejobsat.cz/journal/index.php/ejobsat/article/view/64/pdf_23" target="_blank" >https://www.ejobsat.cz/journal/index.php/ejobsat/article/view/64/pdf_23</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Economic Adjustment of Default Probabilities

Original language description

This paper proposes a straightforward and intuitive computational mechanism for the economic adjustment of default probabilities, allowing the extension of the original (usually one-year) probability of default estimates for more than one period ahead. The intensity of economic adjustment can be flexibly modified by setting the appropriate weighting parameter. The proposed mechanism is designed to be useful especially in the context of lifetime expected credit losses calculation within the IFRS 9 requirements.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

European Journal of Business Science and Technology

ISSN

2336-6494

e-ISSN

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Volume of the periodical

2

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

9

Pages from-to

121-129

UT code for WoS article

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EID of the result in the Scopus database

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