Podrobný výpis o publikaci

PROROKOWSKI, Lukasz, Oleg DEEV a Jena-Daniel GUIGOU. Validation nightmare: the slotting approach under International Financial Reporting Standard 9. 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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Základní údaje
Originální název	Validation nightmare: the slotting approach under International Financial Reporting Standard 9
Autoři	PROROKOWSKI, Lukasz (616 Polsko, garant, domácí), Oleg DEEV (643 Rusko, domácí) a Jena-Daniel GUIGOU.
Vydání	Journal of Risk Model Validation, LONDON, INCISIVE MEDIA, 2021, 1753-9579.

Další údaje
Originální jazyk	angličtina
Typ výsledku	Článek v odborném periodiku
Obor	50206 Finance
Stát vydavatele	Velká Británie a Severní Irsko
Utajení	není předmětem státního či obchodního tajemství
WWW	URL
Impakt faktor	Impact factor: 0.250
Kód RIV	RIV/00216224:14560/21:00122805
Organizační jednotka	Ekonomicko-správní fakulta
Doi	http://dx.doi.org/10.21314/JRMV.2021.003
UT WoS	000710932000005
Klíčová slova anglicky	slotting approach; specialized lending; real estate; International Financial Reporting Standard 9 (IFRS 9); staging; polynomial fitting
Příznaky	Mezinárodní význam, Recenzováno
Změnil	Změnila: Mgr. Pavlína Kurková, učo 368752. Změněno: 16. 5. 2022 10:13.

Anotace
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.

Anotace

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.