Technical paper/IFRS 9
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations
Modeling credit risk in the presence of central bank and government intervention
A prudent loss given default estimation for mortgages. II
This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively.
Validation nightmare: the slotting approach under International Financial Reporting Standard 9
This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework.
Finding the corporate credit cycle for IFRS 9
Decomposing corporate default rates helps identify credit cycles
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
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.
A prudent loss given default estimation for mortgages
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.
Loan classification under IFRS 9
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9