Essays about: "Time-varying macroeconomic covariates"

Found 1 essay containing the words Time-varying macroeconomic covariates.

  1. 1. A semi-parametric Probability of Default model

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Can Ertan; Alex Gansmann; [2016]
    Keywords : Probability of Default; Cox Proportional Hazards Model; IFRS 9; Point-in-time; Time-varying macroeconomic covariates;

    Abstract : With the implementation of IFRS 9, a new set of impairment rules will be effective as of 1st January 2018. We analyse alternative models for probability of default (PD) estimation that are in accordance with IFRS 9. In our model, PD is dependent on idiosyncratic firm-specific factors and systematic macroeconomic conditions. READ MORE