Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study
A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term struc...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-11-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/11/208 |