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May, 2016

Crystal Gazing – Estimating Lifetime PDs

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In our earlier blog, we discussed PD terminology and PD calibration approaches as applicable to the IFRS 9 framework. IFRS 9 has mandated computation of Impairment Losses, approach for which has been discussed in our 6th blog post. For computation of Expected Credit Loss (ECL), IASB expects organizations to consider forward looking information including macroeconomic factors that are relevant to the exposure being evaluated and that must go beyond historical and current available data. BCBS strongly endorsed this requirement in its paper published on 18th December 2015 (Please refer to our white paper around BCBS Guidelines […]

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