Results 11 to 20 of about 51,563 (265)

The Impact of IFRS 9 on the Link Between Lending and the Capital Ratio in Publicly Traded Banks in Poland

Journal of Banking and Financial Economics, 2022
This paper aims to determine the role of the expected credit loss approach as defined in IFRS 9 in the effects of capital ratio on loans growth in publicly traded banks in Poland.
Paweł Bojar, Małgorzata Anna Olszak
doaj   +1 more source

Developing Credit Risk Assessment Methods to Make loss Provisions for Potential loans

Финансы: теория и практика, 2020
According to Bank of Russia Regulation No. 590-P dated June 28, 2017, Russian banks assess credit risk and make loss provisions for potential loans. Since 01.01.2018, credit institutions have been required to create loss provisions for expected losses in
V. A. Rakhaev
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Accounting and auditing of credit loss estimates: The hard and the soft

Latin American Journal of Central Banking, 2021
A key goal of financial reporting is to address information asymmetries, which are amplified in the case of banks given their credit, maturity and liquidity transformation and complex, judgmental accounting standards dealing with expected credit losses ...
Pablo Pérez Rodríguez
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Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study

Risks, 2021
A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account ...
Douw Gerbrand Breed, Niel van Jaarsveld, Carsten Gerken, Tanja Verster, Helgard Raubenheimer   +4 more
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A Forward-Looking IFRS 9 Methodology, Focussing on the Incorporation of Macroeconomic and Macroprudential Information into Expected Credit Loss Calculation

Risks, 2023
The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset/liability in its financial statement, and includes an expected credit loss (ECL) framework for recognising impairment. The quantification of
Douw Gerbrand Breed, Jacques Hurter, Mercy Marimo, Matheba Raletjene, Helgard Raubenheimer, Vibhu Tomar, Tanja Verster   +6 more
doaj   +1 more source

Expected credit loss modeling

Mohyla Mathematical Journal
У цiй статтi запропоновано метод моделювання ймовiрностi дефолту, описано статистичну оцiнку моделi та представлено модель алгоритму програмної реалiзацiї. Алгоритм автоматично обирає з групи регресiйних моделей, де моделями є як лiнiйна регресiя, так i рiзнi модифiкацiї напiвлогарифмiчних моделей та лаговi моделi для макрофакторiв Xi,t,Xi,t-1, ...,Xi ...
Дрiнь, Свiтлана Сергiївна, Сердюк, Федiр Олексiйович   +1 more
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A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss

Cogent Economics & Finance, 2020
The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD).
Willem Daniel Schutte, Tanja Verster, Derek Doody, Helgard Raubenheimer, Peet Jacobus Coetzee   +4 more
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Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures [PDF]

Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019
In recent years, there has been a lot of scientific research stressing the importance of understanding and measuring concentration risk in credit portfolios.
Natalia Nehrebecka
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Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices

Mathematics, 2021
Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default.
Kuang-Hua Hu, Shih-Kuei Lin, Yung-Kang Ching, Ming-Chin Hung   +3 more
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Accounting Provisioning Under the Expected Credit Loss Framework

, 2021
In 2009, the G-20 in London recommended that accounting standard setters, strengthen accounting recognition of loan-loss provisions by incorporating a broader range of credit information (G20 2009). In response, the International Accounting Standards Board (IASB) issued International Financial
Ezio Caruso, Katia D'Hulster, Tatsiana Kliatskova, Juan Ortiz   +3 more
openaire   +3 more sources