Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach
Year of publication: |
2023
|
---|---|
Authors: | Basson, L. J. ; Van Vuuren, Gary |
Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 13.2023, 6, p. 42-52
|
Subject: | IFRS9 | Point-in-time | Probability of default | Through-the-cycle | Vasicek |
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