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Disentangling the Effects of Counterfactual Feedback on Maximization and Risk Preference across Gains and Losses

Shiravand A, Gueguen M, Bavard S, Wulff D, Bastin J, Palminteri S.   +5 more
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Unrecognized Expected Credit Losses and Bank Share Prices

Journal of Accounting Research, 2021
ABSTRACTAccounting for credit losses under U.S. GAAP is transitioning from an incurred to an expected loss model. The model change was motivated by concerns that reporting only incurred losses does not provide investors with sufficient and timely information about banks’ credit risk. In this paper, I develop a measure of lifetime expected credit losses
exaly   +2 more sources

The cyclicality of bank credit losses and capital ratios under expected loss model

SSRN Electronic Journal, 2023
We model the evolution of stylised bank loan portfolios to assess the impact of IFRS 9 and US GAAP expected loss model (ECL) on the cyclicality of loan loss provisions (LLPs), realised losses and capital ratios of banks, relative to the incurred loss ...
Mahmoud Fatouh, Simone Giansante
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The Expected Rate of Credit Losses on Banks' Loan Portfolios

SSRN Electronic Journal, 2013
ABSTRACT Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to academics and regulators with the FASB and IASB issuing new regulations for loan impairment. We develop a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of
Trevor S. Harris, Urooj Khan, Doron Nissim   +2 more
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Current expected credit loss model adoption

Contemporary Accounting Research
Abstract The mandatory switch from the incurred loss model to the more forward‐looking current expected credit loss (CECL) model was originally scheduled to begin in 2020. However, when the COVID‐19 pandemic started in early 2020, US regulators made the switch voluntary.
Jeffrey Ng, Janus Jian Zhang, Xiaoli Jia   +2 more
exaly   +2 more sources

Expected loss and fair value over the credit cycle

The Journal of Credit Risk, 2005
We present an easily applied method of risk-adjusting reduced-form models for changes in systematic risk over the credit cycle. Using an empirical approach, we model the probable changes in systematic risk over time, showing that investment-grade portfolios that are naive to changes in levels of systematic risk can significantly underestimate expected ...
Daniel Philps, Solomon Peters
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Essays on the Expected Credit Loss Model

La aplicación del modelo de pérdidas crediticias esperadas (ECL) representa un cambio importante en la información financiera de los bancos al exigir reservar por pérdidas crediticias esperadas en el momento de la concesión del préstamo. Esta tesis examina el impacto del modelo ECL sobre la transparencia bancaria y las decisiones de préstamo.
Dejuan Bitria, Daniel
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Introduction to Expected Credit Loss Modelling and Validation

2019
Tiziano Bellini
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MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS

International Journal of Theoretical and Applied Finance, 2021
The guidelines of various Accounting Standards require every financial institution to measure lifetime expected credit losses (LECLs) on every instrument, and to determine at each reporting date if there has been a significant increase in credit risk since its inception.
openaire   +2 more sources