Challenges for measuring lifetime PDs on retail portfolios

Challenges for measuring lifetime PDs on retail portfolios

Vivien Brunel, Head of Risk and Capital Modelling at Société Générale, shares his slides which accompanied his presentation at the IFRS 9 Summit in September 2016. In the presentation slides, Vivien discusses:

  • Setting modeling standards
  • Main principles – IFRS 9 phase 2
  • PD modeling
  • Loss rate modeling
  • Exposure modeling
  • Possible approaches for PD measurement
    • Scorecards
    • Roll rates
    • Markov matrix models
    • Vintage analysis
    • Survival analysis

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