Improved credit loss estimates proposed for IFRS 9

Cake — Smooth operator: algorithm tackles ECL calculations

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

A new method of providing smoothed estimates for probability of default could lead to better loan loss forecasting under recently introduced accounting standard IFRS 9, a new paper finds.

The technique claims to help banks make more accurate fixes on expected credit loss, or ECL, which is an important part of the new standard. It may also help for annual stress tests, such as the US Federal Reserve’s Comprehensive Capital Analysis and Review, or CCAR. Some institutions already use the technique

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]