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

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
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Volume/Issue: Volume 2020 Issue 111
Publication date: July 2020
ISBN: 9781513549088
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Topics covered in this book

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Banks and Banking , Finance , WP , transition matrix , financial asset , balance sheet , accounting regime , interest rate , provision stock , bank portfolio model , modeling choice , bank-portfolio level , Lt-ECL ratio , provision flow , International Financial Reporting Standards , Stress testing , Stocks , Loans , Loan loss provisions , Global , Credit risk , IFRS 9 , CECL , lifetime probability of default , LGD modeling , Distressed assets

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January 2010
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.

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