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The cyclicality of bank credit losses and capital ratios under expected loss model
SSRN Electronic Journal, 2023Mahmoud Fatouh, Simone Giansante
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A spline hazard model for current expected credit losses
Journal of Financial Economic Policy, 2021PurposeThe 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
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Journal of Financial Reporting & Accounting
This study aims to draw upon the efficient market hypothesis (EMH) to illuminate the role of the International Financial Reporting Standard (IFRS) in shaping investor perceptions and financial outcomes.
Mohammed Idris +3 more
semanticscholar +1 more source
This study aims to draw upon the efficient market hypothesis (EMH) to illuminate the role of the International Financial Reporting Standard (IFRS) in shaping investor perceptions and financial outcomes.
Mohammed Idris +3 more
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Global Business Review
This study aims to investigate the effect of the expected credit loss (ECL) model under IFRS 9 on audit quality. We focus on the banking setting since IFRS 9 has particularly affected reporting requirements in such industry.
M. Prisco +2 more
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This study aims to investigate the effect of the expected credit loss (ECL) model under IFRS 9 on audit quality. We focus on the banking setting since IFRS 9 has particularly affected reporting requirements in such industry.
M. Prisco +2 more
semanticscholar +1 more source
Expected Loss Model and the Cyclicality of Bank Credit Losses and Capital Ratios
SSRN Electronic Journal, 2020We 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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Accounting Review
Under the Current Expected Credit Loss (CECL) model, banks should fully recognize expected lifetime credit losses upon loan origination while gradually recognizing interest revenues.
Xinrong Qiang, Jing Wang
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Under the Current Expected Credit Loss (CECL) model, banks should fully recognize expected lifetime credit losses upon loan origination while gradually recognizing interest revenues.
Xinrong Qiang, Jing Wang
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Does the Current Expected Credit Loss Approach Decrease the Procyclicality of Banks’ Lending?
Social Science Research Network, 2022Prior research finds that banks reduce loan originations during recessions to mitigate the potential for their regulatory capital to become inadequate.
Jing Chen +3 more
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Decision-Usefulness of Expected Credit Loss Information under CECL
Social Science Research Network, 2022The Financial Accounting Standards Board (FASB) recently replaced the “incurred loss” (IL) model of reporting credit losses with the “current expected credit loss” (CECL) model to improve the timeliness of credit loss information for financial statement ...
Kurt H. Gee +3 more
semanticscholar +1 more source
IFRS 9 compliant economic adjustment of expected credit loss modeling
The Journal of Credit Risk, 2020This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling. Commonly, credit default swap(CDS) spreads are considered as market indicators of future debt performance. However, we demonstrate empirically that nondefault risks explain a relevant part of the CDS spread, and we ...
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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 +2 more
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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 +2 more
openaire +1 more source