IFRS 9 introduces new impairment rules responding to the G20 critique that IAS 39 results in the delayed and insufficient recognition of credit losses. In a case study of a Greek government bond for the period 2009 to 2011 when Greeceś credit rating declined sharply, this study highlights the...

A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...