Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
READ MORE...
Volume/Issue:
Volume 2020
Issue 111
Publication date: July 2020
ISBN: 9781513549088
$5.00
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
| English |
Prices in red indicate formats that are not yet available but are forthcoming.
Topics covered in this book
This title contains information about the following subjects.
Click on a subject if you would like to see other titles with the same subjects.
Banks and Banking , Finance , WP , transition matrix , financial asset , balance sheet , accounting regime , interest rate , provision stock , bank portfolio model , modeling choice , bank-portfolio level , Lt-ECL ratio , provision flow , International Financial Reporting Standards , Stress testing , Stocks , Loans , Loan loss provisions , Global , Credit risk , IFRS 9 , CECL , lifetime probability of default , LGD modeling , Distressed assets
Summary
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests. The tool suite is made available online along with this paper.
Copyright © 2010 - 2024
Powered by:
AIDC
