Loan classification under IFRS 9

Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9

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Scoring and rating models have been used in the field of the granting of credit and in credit risk management for some time. In 2001, the Basel Committee required the use of internal models to be extended to capital charge measurement (Basel Committee on Banking Supervision 2001). Since then, banks and regulators have both developed statistical tools to evaluate the quality of internal rating models because bad performance can lead to inefficient allocation of capital.

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