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...

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Bibliographic Details
Main Authors: Douw Gerbrand Breed, Niel van Jaarsveld, Carsten Gerken, Tanja Verster, Helgard Raubenheimer
Format: article
Language:EN
Published: MDPI AG 2021
Subjects:
Online Access:https://doaj.org/article/691ef2f6d6d84d608ad13459a11f9993
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