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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Year of publication:	2020
Authors:	Groß, Marco
Other Persons:	Laliotis, Dimitrios (contributor) ; Leika, Mindaugas (contributor) ; Lukyantsau, Pavel (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Theorie \| Theory

Extent:	1 Online-Ressource (48 p)
Series:	IMF Working Paper ; No. 20/111
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2020 erstellt
Other identifiers:	10.2139/ssrn.3670602 [DOI]
Classification:	M40 - Accounting and Auditing. General ; G20 - Financial Institutions and Services. General ; E01 - Measurement and Data on National Income and Product Accounts and Wealth ; G21 - Banks; Other Depository Institutions; Mortgages ; M41 - Accounting ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; K2 - Regulation and Business Law
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012826035