Results 291 to 300 of about 1,161,301 (335)

What Do Analysts’ Provision Forecasts Tell Us About Expected Credit Loss Recognition?

Social Science Research Network, 2019
We examine the incremental predictive ability and information content of analysts’ provision forecasts to explore the potential effects of the FASB’s new current expected credit loss (CECL) accounting method.
Anne Beatty, Scott Liao
semanticscholar   +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

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
openaire   +1 more source

Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing

Journal of Risk Management in Financial Institutions, 2017
This paper demonstrates that the convexity of PD functions as well as the correlation among probability of default (PD), loss given default (LGD) and exposure at default (EAD) outcomes impart skewness to the credit-loss, probability-distribution function
G. Chawla, Lawrence R. Forest Jr, Scott D. Aguais   +2 more
semanticscholar   +1 more source

Current Expected Credit Loss Procyclicality: It Depends on the Model

The Journal of Credit Risk, 2018
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
J. Breeden, M. Vaskouski
semanticscholar   +1 more source

Current Expected Credit Losses and consumer loans

Journal of Accounting and Economics, 2023
Joao Granja, Fabian Nagel
openaire   +1 more source

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).
openaire   +1 more source

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
openaire  

Could corporate credit losses turn out higher than expected?

2021
While corporate credit losses have been low since the start of the Covid-19 pandemic, their future evolution is quite uncertain. Using a forecasting model with a solid track record, we find that the baseline scenario ("expected losses") is benign up to 2024. This is due to policy support measures that have kept debt service costs low.
Juselius, Mikael, Tarashev, Nikola A.
openaire   +1 more source

The Effect of the Shift to an Expected Credit Loss Model on Loan Loss Recognition Timeliness

, 2021
Jeong‐Bon Kim, Jeffrey Ng, Chong Wang, Feng Wu   +3 more
semanticscholar   +2 more sources