Inferred Rate of Default as a Credit Risk Indicator in the Bulgarian Bank System.
Entropy (Basel)
; 25(12)2023 Nov 30.
Article
em En
| MEDLINE
| ID: mdl-38136488
ABSTRACT
The inferred rate of default (IRD) was first introduced as an indicator of default risk computable from information publicly reported by the Bulgarian National Bank. We have provided a more detailed justification for the suggested methodology for forecasting the IRD on the bank-group- and bank-system-level based on macroeconomic factors. Furthermore, we supply additional empirical evidence in the time-series analysis. Additionally, we demonstrate that IRD provides a new perspective for comparing credit risk across bank groups. The estimation methods and model assumptions agree with current Bulgarian regulations and the IFRS 9 accounting standard. The suggested models could be used by practitioners in monthly forecasting the point-in-time probability of default in the context of accounting reporting and in monitoring and managing credit risk.
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MEDLINE
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En
Ano de publicação:
2023
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Article