Questions tagged [ifrs9]
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IFRS 9 PiT-PD model when the lagged dependency exceeds one year
It is a common approach to model the point-in-time PD (PiT PD; meaning that the PD depends on the current or lagged economy) by regressing default rates on current or past macro variables (such as GDP ...
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How to construct the probability of default (PD) with not much historical data (<1 year)?
If a financing company has a new funding program, is there a statistical method that can be used to construct a probability of default (PD) for IFRS 9 ECL calculation purposes? Considering that ...
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What would be the ideal way to develop ECL model for startup fintech when there is no historical data
What would be the ideal way to develop the IFRS9 ECL model for startup fintech when there is no historical data.
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How do i calculate the Current Expected Credit Loss Model (CECL)
how do i calculate the CECL?
The equation for the Expected Loss Model (ECL) is:
$ EL=PD*EAD*LGD$ (Lifetime ECL for Stage 2 & 3)
I would like to do a comparative calculation for my bachelor thesis. ...
user51037
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Estimation of the probability of default for the expected loss model (IFRS9)
Hey guys I have to do a calculation for my BA. More precisely, I have to determine the expected loss of a company.
For this I need the probability of default.
What options do I have to determine this ...
user51037
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IFRS9 - Lifetime Expected Credit Losses (ECL) Probability of Default (PD) - how do they get distributed in quarters?
Let's assume we calculate a Lifetime ECL of 5 years. How do we then distribute the expected losses in each of the following 20 quarters? Do we just divide the lifetime ECL by 20 and calculate the ...
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