Good day,
Please i need guidance on how to estimate the Probability of Default on loans granted to employees by an organization.
i intend to use internally generated historical data for the estimate.
Thank you
HOW TO DETERMINE PD FOR EMPLOYEE LOAN USING HISTORICAL DATA
Re: HOW TO DETERMINE PD FOR EMPLOYEE LOAN USING HISTORICAL DATA
You could use a transition matrix.
- JakobLavrod
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Re: HOW TO DETERMINE PD FOR EMPLOYEE LOAN USING HISTORICAL DATA
Hi Sobode!
This is quite a massive topic. However, a good method I can recommend for IFRS 9 usage is survival curves (https://en.wikipedia.org/wiki/Proportio ... ards_model) as they allow you to easily model the probability of default for each month during the period which will be needed when you compute the ECL.
Best of luck!
This is quite a massive topic. However, a good method I can recommend for IFRS 9 usage is survival curves (https://en.wikipedia.org/wiki/Proportio ... ards_model) as they allow you to easily model the probability of default for each month during the period which will be needed when you compute the ECL.
Best of luck!
IFRS 9 Impairment Specialist
Risk Control at Svenska Handelsbanken
Risk Control at Svenska Handelsbanken
Re: HOW TO DETERMINE PD FOR EMPLOYEE LOAN USING HISTORICAL DATA
I got a headache just by looking at all these equations @JakobLavrod
Maybe something easier?
https://ifrscommunity.com/knowledge-bas ... ion-matrix
I guess this is something that DJP had in mind...
Maybe something easier?
https://ifrscommunity.com/knowledge-bas ... ion-matrix
I guess this is something that DJP had in mind...