Vacatures in Institutioneel Vermogensbeheer

A comparison between Survival Analysis and Migration Matrix Models

Bron: John de Kroon, Zanders - 10 mei 2023

This article provides a thorough comparison of the Survival Analysis and Migration Matrix approach for modeling losses under the internal ratings-based (IRB) approach and IFRS 9. The optimal approach depends on the bank’s situation, and this article highlights that there is no one-size-fits-all solution.

The focus of this read is on the probability of default (PD) component since IFRS 9 differs mainly with regards to the PD component as compared to the IRB Accords (Bank & Eder, 2021), and that most time and effort is given to this component.

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