The probability of default under ifrs 9: Multi-period estimation and macroeconomic forecast
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43911215" target="_blank" >RIV/62156489:43110/17:43911215 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.11118/actaun201765020759" target="_blank" >http://dx.doi.org/10.11118/actaun201765020759</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765020759" target="_blank" >10.11118/actaun201765020759</a>
Alternative languages
Result language
angličtina
Original language name
The probability of default under ifrs 9: Multi-period estimation and macroeconomic forecast
Original language description
In this paper we propose a straightforward, flexible and intuitive computational framework for the multi-period probability of default estimation incorporating macroeconomic forecasts. The concept is based on Markov models, the estimated economic adjustment coefficient and the official economic forecasts of the Czech National Bank. The economic forecasts are taken into account in a separate step to better distinguish between idiosyncratic and systemic risk. This approach is also attractive from the interpretational point of view. The proposed framework can be used especially when calculating lifetime expected credit losses under IFRS 9.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
65
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
18
Pages from-to
759-776
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85018397340