Zobrazit minimální záznam

dc.contributor.authorVaněk, Tomáš
dc.contributor.authorHampel, David
dc.date.accessioned2022-01-29T01:02:15Z
dc.date.available2022-01-29T01:02:15Z
dc.date.issued2017
dc.identifier43912655
dc.identifier.issn1211-8516 Sherpa/RoMEO, JCR
dc.identifier.urihttps://repozitar.mendelu.cz/xmlui/handle/20.500.12698/1469
dc.description.abstractIn 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.en
dc.format759-776
dc.publisherMendelova univerzita v Brně
dc.relation.ispartofActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
dc.relation.urihttp://dx.doi.org/10.11118/actaun201765020759
dc.rightsCC BY-NC-ND 4.0
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectCredit risken
dc.subjectEconomic forecasten
dc.subjectIFRS 9en
dc.subjectMarkov chainsen
dc.subjectProbability of defaulten
dc.titleThe probability of default under ifrs 9: Multi-period estimation and macroeconomic forecasten
dc.typeJ_ČLÁNEK
dc.date.updated2022-01-29T01:02:15Z
dc.description.versionOA
local.identifier.doi10.11118/actaun201765020759
local.identifier.scopus2-s2.0-85018397340
local.number2
local.volume65
local.identifier.obd43912655
local.identifier.e-issn2464-8310
dc.project.IDPEF_DP_2016005
dc.project.IDVývoj modelů pro odhad očekávaných úvěrových ztrát v rámci IFRS 9
dc.identifier.orcidHampel, David 0000-0002-3865-5948
local.contributor.affiliationPEF


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Zobrazit minimální záznam

CC BY-NC-ND 4.0
Kromě případů, kde je uvedeno jinak, licence tohoto záznamu je CC BY-NC-ND 4.0