I am looking for some good resources with handful of workout examples, on the modelling of the Probability of Default under IFRS9 framework.

Could you please point me towards some good resources on this subject on how Banks typically calculate them?

Any insight will be very helpful.


IFRS 9 requires a bank to have a probability of defaut (PD) and a loss given defaut (LGD) and other models.

I looked at Tiziano Bellini IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS and it helped me understand what's being done.

I also plan to look at Jing Zhang The New Impairment Model Under IFRS 9 and CECL when I get to it.


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