Project goal: Under IFRS9 the concept of lifetime loss requiring PIT estimates for both stage 2 and stage 3 was introduced. Whilst methodologies are in their infancy the current understanding is that a loss rate or direct approach to ECL is allowed for which is far simpler and possibly more accurate than determining each of the parameters PD, EAD and LGD in isolation. The research problem would then be to evaluate the most pragmatic approach given that accuracy of ECL is the primary objective.

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Problem statement

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