International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
Quant proposes model to calculate bank credit risk exposure to CCP
Four big lenders claim £3 billion CRR-mandated relief
Fed asked not to implement CECL into CCAR until 2021
BMO cuts PCL ratio 10 basis points year-on-year
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
This paper describes a simple model that can be used for risk management.
Sponsored webinar: Wolters Kluwer
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Banks unable to calculate impairments under extreme scenarios must answer to regulator
The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house.
Standard approach banks disadvantaged by higher capital impact and implementation burden
Loans with low loss given defaults now considered impaired, lenders complain
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Capital hit from new loan loss accounting rules to rival incoming Basel regulations
The simple link from default to LGD
A promising approach to the problem of incorporating scenario analysis into operational risk models
The Basel Committee has revealed its thinking on loan loss accounting to standard-setters and industry experts.
The Financial Accounting Standards Board has been robust in its defence of fair-value accounting, and is now set to ruffle regulatory feathers by proposing the approach be expanded to cover all financial instruments. Risk speaks to the standard-setter’s…
Replacing the incurred loss provisioning model remains high on the agenda of accountants, bankers and regulators. The challenge is to find a way to calculate expected loss that satisfies the diverse objectives of all three camps. Can a compromise be…