L’Impatto sulle PD IFRS 9 della nuova definizione di default

Abstract

The application of the new default definition, included in the EBA guidelines GL/2016/07, will determine the revision of the lifetime and forward-looking components of the probability of default (PD) used in the context of the IFRS 9 accounting standard. The estimated impact on profit and loss of all the new default identification criteria included in the new definition is rather complex, and is also influenced by the methodological and interpretative choices of the individual banks. This article focuses on a simulation of the impact concerning only the new rules in terms of past due identification and probation period (assuming no changes to the other risk parameters and transitions between stages). The analysis of a large sample of positions obtained from the “CRIF Information Core” (the exclusive CRIF data assets based on public information, real estate information and credit bureau data) allows the potential impact on the IFRS 9 PD to be quantified in relation to loans with different maturities and granted to different types of counterparty (individuals, sole traders and corporations).

Keywords

• ifrs9
• default