Probability of Default

Period	Model Type	Status	Created At	Approved At	Period Status
December 2024	Roll Rate	Approved	Dec 15, 2024 10:30	Dec 16, 2024 14:20	Locked
November 2024	Roll Rate	Approval in Process	Nov 15, 2024 14:20	-	Unlocked
October 2024	Roll Rate	Completed	Oct 15, 2024 09:15	-	Unlocked

As Of Month	Status	Period Status	Actions
December 2023	Active	Locked
November 2023	Active	Unlocked

Model Type *

Calculation As Of Date *

Historical Lookback Years

Recovery Horizon Months

MEV Selection

PD Floor Percent (%)

Default Criteria

Portfolio Grouping

Multiple Economic Scenarios

Scenario Weightage Type

Baseline Scenario Weightage %

Upturn Scenario Weightage %

Downturn Scenario Weightage %

IFRS9 Marginal PD Period

Rule Script

SQL code for validation (e.g., ensure non-negative values, exclude certain loan cases)

Stage	Corporate Loans	Retail Banking	SME Banking
Stage 1	1.2%	0.8%	2.1%
Stage 2A	3.2%	2.1%	4.5%
Stage 2B	5.5%	3.2%	7.8%
Stage 3A	12.3%	9.1%	15.5%
Stage 3B	15.3%	12.1%	18.5%

As Of Month

December 2023

Macro Factor	Direction	Data
GDP Growth Rate	Positive	2.5%, 3.1%, 2.8%, 3.2%

The system will perform regression analysis and will list a group of possible macroeconomic factors groups. This process may take a few moments.

Macro Economic Factor	Regression R²	P Value	Relevance
GDP Growth Rate	0.752	0.023	OK
GDP Growth Rate (1 Year Lag)	0.681	0.045	OK
GDP Growth Rate (1 Year Lead)	0.523	0.127	No
Unemployment Rate	0.698	0.031	OK
Unemployment Rate (1 Year Lag)	0.645	0.052	OK

Are you sure you want to delete this item? This action cannot be undone.

Probability of Default Configuration