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@article{1802339, author = {Prorokowski, Lukasz and Deev, Oleg and Guigou, JenaandDaniel}, article_location = {LONDON}, article_number = {2}, doi = {http://dx.doi.org/10.21314/JRMV.2021.003}, keywords = {slotting approach; specialized lending; real estate; International Financial Reporting Standard 9 (IFRS 9); staging; polynomial fitting}, language = {eng}, issn = {1753-9579}, journal = {Journal of Risk Model Validation}, title = {Validation nightmare: the slotting approach under International Financial Reporting Standard 9}, url = {https://www.risk.net/journal-of-risk-model-validation/7871991/validation-nightmare-the-slotting-approach-under-international-financial-reporting-standard-9}, volume = {15}, year = {2021} }
TY - JOUR ID - 1802339 AU - Prorokowski, Lukasz - Deev, Oleg - Guigou, Jena-Daniel PY - 2021 TI - Validation nightmare: the slotting approach under International Financial Reporting Standard 9 JF - Journal of Risk Model Validation VL - 15 IS - 2 SP - 63-100 EP - 63-100 PB - INCISIVE MEDIA SN - 17539579 KW - slotting approach KW - specialized lending KW - real estate KW - International Financial Reporting Standard 9 (IFRS 9) KW - staging KW - polynomial fitting UR - https://www.risk.net/journal-of-risk-model-validation/7871991/validation-nightmare-the-slotting-approach-under-international-financial-reporting-standard-9 N2 - 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. ER -
PROROKOWSKI, Lukasz, Oleg DEEV a Jena-Daniel GUIGOU. Validation nightmare: the slotting approach under International Financial Reporting Standard 9. \textit{Journal of Risk Model Validation}. LONDON: INCISIVE MEDIA, 2021, roč.~15, č.~2, s.~63-100. ISSN~1753-9579. Dostupné z: https://dx.doi.org/10.21314/JRMV.2021.003.
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