ECL model forecasts are off-target, researchers find

Anticipated slowdown will be first major test for new generation of expected credit loss models

missed-target

Banks should adjust their economic capital and loan loss reserves to reflect the forecasting risk in expected credit loss models, according to two credit risk modelling experts. They fear expected credit loss (ECL) model forecasts could be left exposed, at a time when banks are anticipating rising defaults and provisions in the coming months, on the back of the energy price shock and interest rate hikes.

International accounting standard IFRS 9 (which introduced ECL) was adopted in Europe from

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here