Since 2014
Economic Adjustment of Default Probabilities
European Journal of Business Science and Technology
View Archive Info| Field | Value | |
| Title |
Economic Adjustment of Default Probabilities
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| Creator |
Vaněk, Tomáš
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| Description |
This paper proposes a straightforward and intuitive computational mechanism for economic adjustment of default probabilities, allowing to extend original (usually one-year) probability of default estimates for more than one period ahead. The intensity of economic adjustment can be flexibly modified by setting the appropriate weighting parameter. The proposed mechanism is designed to be useful especially in the context of lifetime expected credit losses calculation within the IFRS 9 requirements.
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| Publisher |
Mendel University in Brno
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| Date |
2016-12-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
application/pdf application/vnd.openxmlformats-officedocument.wordprocessingml.document application/zip |
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| Identifier |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/64
10.11118/ejobsat.v2i2.64 |
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| Source |
European Journal of Business Science and Technology; Vol 2 No 2 (2016); pp. 122–130
2694-7161 2336-6494 |
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| Language |
eng
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| Relation |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/64/pdf_30
https://journal.ejobsat.cz/index.php/ejobsat/article/view/64/120 https://journal.ejobsat.cz/index.php/ejobsat/article/view/64/121 https://journal.ejobsat.cz/index.php/ejobsat/article/view/64/122 |
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| Rights |
Copyright (c) 2016 European Journal of Business Science and Technology
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