Implementing IFRS 9: Quantifying Expected Credit Losses in Retail and Wholesale Portfolios

Juan M Licari and Yashan Wang


This chapter discusses how to address the specific challenges IFRS 9 poses for retail and wholesale portfolios, focusing on incorporating forward-looking information into impairment models, recognising significant credit-risk increases for stage allocation purposes and capturing an exposure’s lifetime. We also describe various practical and effective approaches for leveraging internal and external data for building impairment models and processes in line with IFRS 9 guidelines. We then answer common questions pertaining to consumer and commercial credit portfolios.

The new international accounting standard, IFRS 9, requires measuring and reporting financial assets from a more point-in-time (PIT) and forward-looking perspective, when compared with IAS 39’s incurred-loss model. At the core of this new requirement is the need to measure credit impairment in an objective and unbiased manner, using information regarding past events, current conditions and economic forecasts. This chapter focuses on quantifying loss allowance for wholesale and retail portfolios under IFRS 9. We discuss key components in the expected credit losses (ECLs) quantification: probability of

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 View our subscription options

You need to sign in to use this feature. If you don’t have a 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