IFRS 9, Stress Testing, ICAAP - A comprehensive framework for PD calculation

20 Oct 2017
Date submitted
20 Oct 2017
Resource type
White paper
File type
Web page Web page
In order to fulfil all the different requirements coming from competent authorities for different regulatory processes, financial institutions are asked to calculate probabilities of default (PD) in several ways.

Forward looking lifetime PDs are needed for IFRS 9 compliance while a stressed point in time PD is required to calculate impairment losses. This plurality gives rise to the need for synergisms among the different PD calculations methods in order to minimize costs related to the PD model development and maintenance.
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