Abstract
Expected credit losses (ECLs) are usually computed by relying on the product of three main risk parameters: probability of default (PD), loss given default (LGD) and exposure at default (EAD). A forward-looking view is central for the overall estimate, as detailed in Section 6.1. In this regard, the first goal of this chapter is to study multivariate time series to analyse and forecast macroeconomic scenarios. The focus of Section 6.2 is on vector auto-regression (VAR) and vector error-correction (VEC) models. Information bearing on global vector auto-regression (GVAR) modelling is also provided.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: IFRS 9 and CECL Credit Risk Modelling and Validation
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
