ECL model forecasts are off-target, researchers find
Anticipated slowdown will be first major test for new generation of expected credit loss models
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
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