The IFRS 9 accounting standard requires expected credit loss measures that reflect historical experience, current conditions, and reasonable and supportable forecasts of future events.
Moody’s Analytics ImpairmentCalc software offers a Rating-to-Point-in-Time (PIT) probability of default (PD) Converter, providing a PIT view of credit risk to meet the IFRS 9 requirement. The methodology for this converter ensures that the mean PIT PD over a long-enough period will match the firm’s input Through-the-Cycle (TTC) PD. Specific financial instruments may have different volatility patterns than an average-rated public firm.
Join us to explore suggested approaches to adjust the volatility of the PIT PD output based on the composition of a sample client portfolio. .
Questions? Email: MA-Webinars@moodys.com