R-codebase for a scientific research article, titled "Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis"
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Dec 30, 2025 - R
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ifrs9
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This model estimates the 12-month Probability of Default (PD) for prime residential mortgage customers in the United Kingdom, aligned with the IFRS 9 impairment framework and calibrated to an adverse macroeconomic scenario. Version 1 (v1) is developed using gradient-boosted decision trees (GBDT)
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May 14, 2025
IFRS 9 SICR model Mortgages
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May 14, 2025
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