Empirical results for expected credit losses of G-SIBs during COVID-19. The proof of the pudding is in the eating [PDF]
MAB, 2021 This study examines the provision for credit losses and its disclosures for Global Systemically Important Banks (G-SIBs) in connection to the COVID-19 crisis.
Tristan Brouwer +2 more
doaj +3 more sources
Approaches to Modelling Exposure at Default for the Entire Life of the Asset [PDF]
Финансовый журнал, 2021 This paper is devoted to developing an optimal model for assessing the default requirement (EAD) of assets over the entire life of a financial instrument in accordance with the requirements of IFRS 9 “Financial instruments”. The EAD for the whole life of
Alfiya F. Vasilyeva
doaj +1 more source
PERHITUNGAN RISIKO KREDIT KPR PADA BANK XYZ MENGGUNAKAN METODE CREDITRISK+
E-Jurnal Matematika, 2022 Credit risk is a risk that is often encountered by banks in lending, especially mortgages. Banks can get losses if the risk is not anticipated properly.
SORAYA SARAH AFIFAH +2 more
doaj +1 more source
The impact of Indonesian financial accounting standard implementation, credit risk, and credit restructuring on allowance for credit losses in Indonesia [PDF]
Banks and Bank Systems, 2022 This study examines the impact of the implementation of the Indonesian Financial Accounting Standard, credit risk, and credit restructuring on the formation of Allowance for Credit Losses (ACL) of commercial banks listed on the Indonesia Stock Exchange ...
I Gusti Ngurah Agung Suaryana +2 more
doaj +1 more source
What is the Sustainable Level of Banks’ Credit Losses and Provisions?
Review of Economic Perspectives, 2021 In this paper, we estimate the sustainable level of lifetime expected credit losses and provisions and assess the procyclicality of banks’ credit losses and provisions in the Czech Republic.
Malovaná Simona, Tesařová Žaneta
doaj +1 more source
The impact of climate risk on corporate credit risk
Cogent Economics & Finance, 2022 Firms must estimate expected credit losses (EL) to comply with accounting standards and unexpected credit losses (UL) to determine regulatory credit risk capital. Both rely on estimates of obligor probabilities of default (PD).
Francesca Bell, Gary van Vuuren
doaj +1 more source
IFRS 9 implementation in banks and macroeconomic scenarios: Some methodological aspects [PDF]
Bankarstvo, 2017 The International Financial Reporting Standard 9 - IFRS is another one in the series of global level initiatives undertaken with a view to fixing the consequences of the global economic and financial crisis, and preventing the future negative ...
Brković Milan
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The accounting treatment of expected credit losses by South African banks during COVID-19
Journal of Economic and Financial Sciences, 2023 Orientation: The coronavirus disease 2019 (COVID-19) pandemic negatively affected borrowers’ ability to repay debt, which is expected to influence banks’ calculation of their expected credit loss (ECL) allowance.
Vumani Nkomombini +8 more
doaj +1 more source
Data Analytics for Credit Risk Models in Retail Banking: a new era for the banking system [PDF]
Risk Management Magazine, 2023 Given the nature of the lending industry and its importance for global economic stability, financial institutions have always been keen on estimating the risk profile of their clients.
Adamaria Perrotta +2 more
doaj +1 more source
Limitations of Implementing an Expected Credit Loss Model
SSRN Electronic Journal, 2023 The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using forward-looking information. We use supervisory loan-level data from Germany to investigate how banks apply their reporting discretion and adjust their lending upon the announcement of the new rules. Our identification strategy exploits
Bischof, Jannis +3 more
openaire +4 more sources