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Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss

, 2016
This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporated into a credit risk model through logistic regression
Malwandla, Musa
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Advanced Risk Consulting Expected Loss Model (ARC ELM): For Current Expected Credit Losses (CECL)

SSRN Electronic Journal, 2017
The ARC ELM is a top-down expected credit loss system that projects the intertemporal effects of both loan default cycles and macroeconomic conditions on credit losses for U.S. banks. The ARC ELM is based on an Ordinary Least Squares (OLS) time series analysis using historical loan loss and macroeconomic data, while, importantly, also maintaining ...
Aaron Lucey, Clifton Chang
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Current Expected Credit Losses and consumer loans

Journal of Accounting and Economics, 2023
Joao Granja, Fabian Nagel
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A foundational approach to credit migration for stress testing and expected credit loss estimation

Journal of Risk Management in Financial Institutions, 2018
Structural regularities in the dynamics of risk ratings can be used to characterise credit migration using a few indicators of economic activity. These regularities can be used to construct plausible stress test scenarios for credit migration that include the effects of credit cycles and economic activity for different countries beyond the limitations ...
Jorge R. Sobehart, Xiaoming Sun
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Estimating Unbiassed Expected Loss, with Application to Consumer Credit

SSRN Electronic Journal, 2017
The credit risk measure, Expected Loss (EL) is defined as the product of the three risk parameters: probability of default (PD), loss given default (LGD) and exposure at default (EAD). EL is central to risk management, profit estimation, calculating regulatory capital requirements and the standard accounting rules for credit (IFRS 9).
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A transitions-based framework for estimating expected credit losses [PDF]

, 2014
This paper presents a framework for estimating losses for residential mortgage loans.At the core is a transitions-based probability of default model which yields directly observ- able cash-fl ows at the loan level. The estimated model includes coefficients on unemployment, Loan to Value ratio and interest rates, all of which allow a macroeconomic ...
Gaffney, Edward, Kelly, Robert, McCann, Fergal   +2 more
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Optimising Credit Risk Management: An In-Depth Exploration of the Expected Credit Loss Framework for Effective Credit Loss Provisioning

International Journal of Banking, Risk and Insurance
The banking sector in India currently relies on the incurred loss approach (ILA) for provisioning non-performing assets (NPAs), wherein credit losses are recognised only upon the occurrence of a loss event. While widely adopted, this reactive approach suffers from significant limitations, including delayed recognition of losses, inadequate early ...
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Implications of the Current Expected Credit Loss accounting model

Journal of Banking Regulation, 2017
The Financial Accounting Standards Board approved a controversial accounting change in 2016 that impacts how and when US banks account for loan losses. The accounting modification will require the allowance for loan losses to be sufficient to cover all losses projected over the life of loans and leases originated or purchased.
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IFRS 9 and THE EXPECTED CREDIT LOSS MODEL

2015
Banka bilançosundaki en önemli varlık kalemi olan kredilerin değerinin doğru belirlenmesi bankacılık sisteminin sağlıklı işleyişi açısından önemlidir. Kredilerin bilançodaki değerinin belirlenmesi de kredi zararları için nasıl ve ne zaman karşılık ayrılacağına bağlıdır.
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Moving toward the expected credit loss model under IFRS 9: capital transitional arrangement and bank systematic risk

Accounting and Business Research, 2022
Minyue Dong, Romain Óberson
exaly