Results 261 to 270 of about 56,025 (297)

Testing the Efficacy of Replacing the Incurred Credit Loss Model with the Expected Credit Loss Model

European Accounting Review, 2018
We use a controlled laboratory environment to provide evidence on the potential efficacy of the replacement of the Incurred Credit Loss (ICL) Model of International Accounting Standard (IAS 39) by ...
Mohamed Gomaa, Kiridaran Kanagaretnam, Stuart Mestelman, Mohamed Shehata   +3 more
openaire   +1 more source

Optimal structure of an expected loss credit rating model

Applied Economics
Shih-Kuei Lin, Xian-Ji Kuang
exaly   +2 more sources

Accounting Treatment of Credit Loss Allowances Amid COVID-19: Current Expected Credit Loss (CECL) Versus IFRS 9 Expected Credit Loss (ECL)

SSRN Electronic Journal, 2020
Shortly before the COVID-19 crisis emerged worldwide accounting standard boards reformed the accounting requirements for the modeling and the accounting of credit loss allowances. The Financial Standards Board (FASB) issues new requirements effective 2020 and the International Accounting Standards Board (IASB) IFRS 9 becoming effective 2018. The crisis
openaire   +1 more source

Expected Loss Model and the Cyclicality of Bank Credit Losses and Capital Ratios

SSRN Electronic Journal, 2020
We simulate the evolution of stylised loan portfolios to assess the impact of IFRS 9 and US-GAAP expected loss model (ECL) on the pro-cyclicality of realised losses and capital ratios of banks, relative to the incurred loss model of IAS 39. We focus on the interaction between the changes in loan loss provisions (LLPs) charges (flow channel) and stocks (
Mahmoud Fatouh, Simone Giansante
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Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis

SSRN Electronic Journal, 2015
The recent publication of the IFRS 9 norms related to collective provisions for non defaulted instruments has settled a new vision to banking book portfolios. In this paper we show that the IFRS 9 provision measured through the Expected Credit Loss (ECL), inspired from a market vision on loan books, is very similar to the Credit Value Adjustment (CVA ...
Vivien Brunel, Stephane Crepey, Monique Jeanblanc   +2 more
openaire   +1 more source

A spline hazard model for current expected credit losses

Journal of Financial Economic Policy, 2021
PurposeThe purpose of this paper is to present a comprehensive framework for assisting lending banks in their current expected credit losses (CECL) forthcoming computations.Design/methodology/approachThe bottom-up approach requires multiple steps including the spline method for identifying optimal segments in the lifetimes of loans, Poisson regressions
openaire   +1 more source

Current expected credit loss procyclicality: it depends on the model

The Journal of Credit Risk, 2020
The new guidelines for loan loss reserves, current expected credit loss (CECL), were initially proposed so that lenders’ loss reserves would be forward-looking. Some recent studies have suggested that CECL could be procyclical, meaning that loss reserves would peak at the peak of a crisis.
Joseph L. Breeden, Maxim Vaskouski
openaire   +1 more source

The Decision Usefulness of Current Expected Credit Losses: Users’ Views about the Current Expected Credit Losses Model

Behavioral Research in Accounting
ABSTRACT In 2016, the Financial Accounting Standards Board (FASB) issued ASU 2016-13, “Financial Instruments—Credit Losses,” requiring firms to switch to a current expected credit losses (CECL) model. To assess the impact of this new standard, we performed semistructured interviews with analysts, trade group members, and financial ...
Jordan M. Bable, Christopher I. L. Wong, Michael J. Wynes   +2 more
openaire   +1 more source

Expected credit losses in international banking business

Scientific notes
The late and insufficient formation of provisions for credit losses became one of the causes of the global financial crisis of 2008-2009. In response to the challenges posed to the international community by this crisis, the Basel Committee on Banking Supervision developed Basel III requirements for financial institutions, which include including ...
Tetianа Musiiets, Iryna Olshevska, Valeriia Mozhna   +2 more
openaire   +1 more source

Accounting for expected credit losses

2016
This paper discusses the results of the research problem of accounting for expected credit losses. Accounting for expected credit losses should provide users of financial statements useful information about an entity’s expected credit losses on its financial assets and commitments to extend credit.
Mrša, Josipa, Čičak, Josip, Ljubić, Dara   +2 more
openaire   +1 more source