The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast
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 fore...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Mendel University Press
2017-01-01
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| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| Subjects: | |
| Online Access: | https://acta.mendelu.cz/65/2/0759/ |