Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
Gaurav Chawla, Lawrence R. Forest Jr., Scott D. Aguais
Year of publication: |
2017
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Authors: | Chawla, Gaurav ; Forest, Lawrence R. <Jr.> ; Aguais, Scott D. |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 10.2016/2017, 1, p. 99-110
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Subject: | point-in-time (PIT) | through-the-cycle (TTC) | IFRS9/CECL | expected credit loss (ECL) | stress testing | correlation | non-linear losses | Kreditrisiko | Credit risk | Korrelation | Correlation | Bankrisiko | Bank risk | Theorie | Theory | Basler Akkord | Basel Accord | Kreditgeschäft | Bank lending | Stresstest | Stress test |
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