Vlachostergios Eleftherios was born in Thessaloniki, Greece in 1975. He holds MSc in Decision Sciences, specializing Financial Engineering, from Athens University of Economics & Business, and a BSc in Economics from the University of Macedonia, Thessaloniki. He is currently employed by the National Bank of Greece, in Risk IT department, and has been engaged in a wide range of projects, including credit risk model development, Basel IRB and Standardized approaches implementation, reporting and data management. His current publishing interests focus on the notion of credit risk and how it may be properly measured, either internally by the financial institution, or externally by the investor.
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…