前瞻性信息(Forward-Looking Information,FLI):包括所有无须付出不必要的额外成本或努力即可获得的合理且有依据的前瞻性信息;根据风险链接模型及预测情景值得出预测的违约率,再根据预测违约率将跨周期模型调整为具有前瞻性调整的时点模型(详见模块4)。 4 Basel与IFRS 9 ...
前瞻性信息(Forward-Looking Information,FLI):包括所有无须付出不必要的额外成本或努力即可获得的合理且有依据的前瞻性信息;根据风险链接模型及预测情景值得出预测的违约率,再根据预测违约率将跨周期模型调整为具有前瞻性调整的时点模型(详见模块4)。 4 Basel与IFRS 9 尽管新准则的ECL模型与Basel资本计量框架的内部评级...
forward-looking information 前瞻性信息 Quantitative and qualitative information about amounts arising from expected credit losses collateral and other credit enhancements 抵押品和其他信用增强 narrative description 叙事性的描述 mitigate v.<正式>减轻,缓和 An entity shall disclose the contractual amount outstandi...
(c) Bank B’s credit risk department, which monitors Company C, has determined that the latest developments are not significant enough to justify a change in its internal credit risk rating. 尽管预期市场状况持续恶化,但 B 银行根据 IFRS 9 第 5.5.3 ...
The IASB has made available a webcast discussing forward-looking information in the application of the expected credit loss impairment requirements in IFRS 9. The webcast, which features IASB member Sue Lloyd, Technical Director Kumar Dasgupta, and Practice Fellow Uni Choi, covers the following topics...
IFRS 9 says that you should: Derive the default rates from your own historical credit loss experience; and Adjust them for forward-looking information. Historical default rates First, you need toanalyze the historical credit losses. How?
To apply the three-stage general approach to impairment, an entity is required tomodel not only credit risk parametersof exposures and portfolios, but also include in the modelling thebest available estimates of future changes, referred to as“forward-looking information”. ...
On January 1, 2018, IFRS 9 became effective in the EU. It introduced the expected credit loss model to allow for timely recognition of credit losses, estimated not only on the actual credit loss experience but also on forward looking information related to current loan portfolio. Although the ...
Alongside monitoring changes in LGDs, exposure amounts, collateral values, migration of default probabilities and internal borrower credit risk grades, models used in the ECL calculation must consider current and historical forward-looking information, which includes macroeconomic variables that should be ...
they will have to be disclosed as part of the accounting policy and disclosure requirements following IFRS.An additional part of the credit risk assessment is that financial institutions will need to classify and calculate using forward- looking information rather than 'past due' buckets within their...