Results 31 to 40 of about 55,619 (297)
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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, 2021 The International Accounting Standards Board (IASB) and Financial Accounting Standards Board (FASB) have recently adopted expected credit loss models for the loan loss provisioning of banks.
Breuer, Patricia +2 more
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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 +4 more
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Tails of Credit Default Portfolios [PDF]
, 2004 We derive analytic expressions for the tail behavior of credit losses in a large homogeneous credit default portfolio. Our model is an extended CreditMetrics model; i.e. it is a one-factor model with a multiplicative shock-variable.
Kuhn, G., Kuhn, Gabriel, Gabriel Kuhn
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Mohyla Mathematical JournalУ 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 +1 more
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Test-Bedding the Replacement of the Incurred Credit Loss Model with an Expected Credit Loss Model: The Case of Trade Receivables [PDF]
SSRN Electronic Journal, 2016 We use a laboratory-controlled environment to provide experimental evidence on the potential intended and unintended consequences of the mandatory replacement of the Incurred Credit Loss Model (ICL) of IAS 39 by the Expected Credit Loss Model (ECL) of IFRS 9.
Kanagaretnam, Kiridaran +3 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 +3 more
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Recent Regulation in Credit Risk Management: A Statistical Framework
Risks, 2019 A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models.
Logan Ewanchuk, Christoph Frei
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