IFRS 9Expected Credit LossBanksThis paper examines banks' option to adopt the capital transitional arrangement (CTA) set out by the Basel Committee on Banking Supervision in response to the idoi:10.2139/ssrn.3708441Dong, MinyueOberson, Romain...
This paper looks into the various model optionalities of the Expected Credit Loss (ECL) calculation according to the new International Financial Reporting Standards IFRS 9 issued by the IASB. In a first step, based on market surveys expected models for calculation ECL are identified. In a second...
International Financial Reporting Standard9 (IFRS9)weight-of-default componentThis paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling. Commonly, credit defauSocial Science Electronic Publishing...
IFRS 9Value relevanceEuropean banksThis study investigates whether the newly introduced characteristics of the IFRS 9 standard for accounting of financial instruments are value-relevant. IFRS 9 iYaghobee, YasamanZick, TheresaSocial Science Electronic Publishing...
doi:10.69554/tleu6097Sobehart, Jorge R.Henry Stewart PublicationsJournal of Risk Management in Financial Institutions
This chapter aims to describe the key requirements of IFRS 9 on accounting for loan loss provisions. First, it describes the main rationale behind credit loss provisioning. It proceeds by giving a short history of the standard development and finally, the last section summarizes the main ...
Having doneChawla, GauravForest Jr, Lawrence R.Aguais, Scott D.Journal of Risk Management in Financial Institutions
Araceli Mora
The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The proposed methodology is described by ...
Araceli Mora