Finding the corporate credit cycle for IFRS 9

Decomposing corporate default rates helps identify credit cycles


Louis Brown and Xiaonan Che propose an alternative method of identifying and measuring credit cycles from the general credit risk time series, together with a simple approach for embedding the cyclicality effect for the probability of default component of the expected credit loss calculation under the IFRS 9 framework

The global financial crises between 2008 and 2009 highlighted the failures of the incurred loss approach for impairment models. The leaders of

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