This thesis comprises two possibilities of modelling the probability of default as one of key parameters for calculation of the expected credit loss according to the new mandatory International financial reporting standards (IFRS 9). New financial reporting standards do not only require modelling of credit risk based on client and loan type, but also taking into account the ever changing macroeconomic environment in the process of provisioning for coverage of the expected credit losses. Not excluding any of bank's investments, IFRS 9 extends the scope for facility provisioning. The thesis consists of four main sections – in the first, standard's key novelties and requirements for calculation of expected credit loss are outlined from a risk management point of view, in the second, the model for estimation of the probabilities of default for individual clients is described and in the third, the model for estimation of the probabilities of default for small, medium and large companies is described. The obtained results and key findings, based on use of methodologies in practice, are presented in the fourth section.
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