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Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests....

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Bibliographic Details
Main Author: Gross, Marco
Other Authors: Laliotis, Dimitrios, Leika, Mindaugas, Lukyantsau, Pavel
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2020
Series:IMF Working Papers
Subjects:
Financial Risk Management
Banks
International Financial Reporting Standards
Distressed Assets
Financial Institutions And Services: General
Banks And Banking
Financial Services Law & Regulation
Financial Sector Policy And Analysis
Investments: Stocks
Financial Regulation And Supervision
Loans
Pension Funds
Banking
Micro Finance Institutions
Financial Institutions
Financial Instruments
Accounting And Auditing: General
Industries: Financial Services
Depository Institutions
Investment & Securities
State Supervision
Institutional Investors
Finance: General
Stocks
Non-bank Financial Institutions
Mortgages
Finance
Financial Institutions And Services: Government Policy And Regulation
General Financial Markets: Government Policy And Regulation
Stress Testing
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests. The tool suite is made available online along with this paper
Physical Description:47 pages
ISBN:9781513549088

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