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The new accounting standards of CECL for the US and IFRS 9 elsewhere require predictions of lifetime losses for loans. The use of roll rates, state transition and “vintage” models… Click to show full abstract
The new accounting standards of CECL for the US and IFRS 9 elsewhere require predictions of lifetime losses for loans. The use of roll rates, state transition and “vintage” models has been proposed...
Keywords:
multihorizon discrete;
time survival;
survival models;
discrete time
Journal Title: Journal of the Operational Research Society
Year Published: 2020
Link to full text (if available)
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Journal Title: Journal of the Operational Research Society
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!