Results 251 to 260 of about 3,240,961 (284)

Expected credit losses in international banking business

Scientific notes
The late and insufficient formation of provisions for credit losses became one of the causes of the global financial crisis of 2008-2009. In response to the challenges posed to the international community by this crisis, the Basel Committee on Banking Supervision developed Basel III requirements for financial institutions, which include including ...
Tetianа Musiiets, Iryna Olshevska, Valeriia Mozhna   +2 more
openaire   +1 more source

A spline hazard model for current expected credit losses

Journal of Financial Economic Policy, 2021
PurposeThe 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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Optimal structure of an expected loss credit rating model

Applied Economics
Shih-Kuei Lin, Xian-Ji Kuang
exaly   +2 more sources

Current expected credit loss model adoption

Contemporary Accounting Research
Abstract The mandatory switch from the incurred loss model to the more forward‐looking current expected credit loss (CECL) model was originally scheduled to begin in 2020. However, when the COVID‐19 pandemic started in early 2020, US regulators made the switch voluntary.
Aurelius Aaron, Xiaoli Jia, Jeffrey Ng, Janus Jian Zhang   +3 more
openaire   +1 more source

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
openaire   +1 more source

Accounting for expected credit losses

2016
This paper discusses the results of the research problem of accounting for expected credit losses. Accounting for expected credit losses should provide users of financial statements useful information about an entity’s expected credit losses on its financial assets and commitments to extend credit.
Mrša, Josipa, Čičak, Josip, Ljubić, Dara   +2 more
openaire   +1 more source

Current Expected Credit Losses and consumer loans

Journal of Accounting and Economics, 2023
Joao Granja, Fabian Nagel
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A foundational approach to credit migration for stress testing and expected credit loss estimation

Journal of Risk Management in Financial Institutions, 2018
Structural regularities in the dynamics of risk ratings can be used to characterise credit migration using a few indicators of economic activity. These regularities can be used to construct plausible stress test scenarios for credit migration that include the effects of credit cycles and economic activity for different countries beyond the limitations ...
Jorge R. Sobehart, Xiaoming Sun
openaire   +1 more source

Advanced Risk Consulting Expected Loss Model (ARC ELM): For Current Expected Credit Losses (CECL)

SSRN Electronic Journal, 2017
The ARC ELM is a top-down expected credit loss system that projects the intertemporal effects of both loan default cycles and macroeconomic conditions on credit losses for U.S. banks. The ARC ELM is based on an Ordinary Least Squares (OLS) time series analysis using historical loan loss and macroeconomic data, while, importantly, also maintaining ...
Aaron Lucey, Clifton Chang
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Accounting for Racial Inequality: Expected Credit Losses and the Distribution of Mortgage Credit

This study examines whether credit-loss accounting pressure is associated with the distribution of mortgage credit across borrower groups. Using a large public-data linkage that combines HMDA mortgage applications, the Philadelphia Fed HMDA Lender File, and FDIC/FFIEC Call Report data, we connect applicant-level mortgage denial outcomes to bank-year ...
David Olsen, Cindy Greenman
openaire   +1 more source