标题： IFRS 9下违约风险期限结构建模方法：使用离散时间生存分析的教程 显示英文标题

标题： Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis

摘要： 在国际财务报告准则（IFRS）9下，信用损失应当及时且准确地确认。 这一要求在估算信用损失事件的组成部分时表现出一定程度的动态性，尤其是违约概率（PD）。 在贷款生命周期的每个阶段生成足够动态和准确的PD估计值，众所周知是极具挑战性的，尤其是在考虑不断变化的宏观经济背景时。 在生成这些整个生命周期的PD估计值时，建模技术的选择起着重要作用，因此我们首先回顾了几类技术，包括每种技术的优点和局限性。 然而，我们的主要贡献是开发了一个深入且数据驱动的教程，使用了一种称为离散时间生存分析的技术。 该教程配有多种可重复使用的诊断措施，用于评估生存模型及其基础数据的各个方面。 进一步提供了一个全面的基于R的代码库。 我们认为，我们的工作可以帮助在IFRS 9下培养共同的建模实践，对从业者、模型验证者和监管机构都有价值。 显示英文摘要

摘要： Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss event, most notably the probability of default (PD). It is notoriously difficult to produce such PD-estimates at every point of loan life that are adequately dynamic and accurate, especially when considering the ever-changing macroeconomic background. In rendering these lifetime PD-estimates, the choice of modelling technique plays an important role, which is why we first review a few classes of techniques, including the merits and limitations of each. Our main contribution however is the development of an in-depth and data-driven tutorial using a particular class of techniques called discrete-time survival analysis. This tutorial is accompanied by a diverse set of reusable diagnostic measures for evaluating various aspects of a survival model and the underlying data. A comprehensive R-based codebase is further contributed. We believe that our work can help cultivate common modelling practices under IFRS 9, and should be valuable to practitioners, model validators, and regulators alike.