Mathematics, 2022 In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution,
Yanlai Song +3 more
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Methods of Calculation of Expected Credit Losses Under Requirements of IFRS 9
Корпоративные финансы, 2019 The most important area of work for financial market regulators including International Accounting Standards Board is to clarify the metrics of credit assessment.
Alfiya Vasilyeva, Elvina Frolova
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Expected credit losses and managerial discretion. Current practices and future challenges
Management Control, 2021 This paper examines the loan loss provisioning behaviour during the transition from IAS 39 to IFRS 9 for a sample of 403 banks in 27 countries in European Union. The objective of the study is to investigate whether during the first years of adoption of the new expected credit loss (ECL) impairment model banks are more en-couraged to smooth earnings and
Alessandra Allini
exaly +5 more sources
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
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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
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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
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
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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
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The impact of the expected credit loss model under IFRS 9 on loan loss recognition timeliness: early evidence from the Egyptian banks [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجارية, 2021 The central bank of Egypt (CBE) has obligated the Egyptian banks as of 2019 to apply IFRS 9 to provide more timely information about the expected credit losses (ECL).
کريم منصور على حسوبة
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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
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