The determinants of expected credit losses overlays recognition
, 2023 As principais alterações resultantes da substituição da IAS 39 pela IFRS 9, incluem a introdução de um novo modelo de perdas esperadas (ECL) para estimar perdas por imparidade em ativos financeiros mensurados ao custo amortizado. A inclusão de uma abordagem mais virada para o futuro representou uma melhoria em relação à norma anterior.
Minhota, João Miguel Lopes
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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
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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
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
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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 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
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
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
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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