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- W3197261785 abstract "This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework. The paper introduces the concept of mapping the probability of default estimates to the slotting scores. A sequential process for deriving the correspondence between the slotting scores and probabilities of default of a particular obligor is proposed as a solution to adapting the slotting approach to the IFRS 9 rules. This solution is especially useful for capturing the increase in credit risk under the IFRS 9 rules using denotching and staging processes. All in all, this paper addresses the research questions of whether and how a slotting model can be used for IFRS 9 compliance purposes. In addition to the core aim of the paper, which is the provision of a probability of default mapping solution under the IFRS 9 framework, we also explain the methodology of a slotting model, discussing specific modeling choices for the real estate slotting approach aligned to the relevant regulatory framework. In doing so, we provide an example of a slotting model that can be used by practitioners as a challenger model during the validation exercise." @default.
- W3197261785 created "2021-09-13" @default.
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- W3197261785 date "2021-01-01" @default.
- W3197261785 modified "2023-09-25" @default.
- W3197261785 title "Validation nightmare: the slotting approach under International Financial Reporting Standard 9" @default.
- W3197261785 doi "https://doi.org/10.21314/jrmv.2021.003" @default.
- W3197261785 hasPublicationYear "2021" @default.
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