International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Bill Huajian Yang, Biao Wu, Kaijie Cui, Zunwei Du and Glenn Fei
| Year of publication: |
2020
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|---|---|
| Authors: | Yang, Bill Huajian ; Wu, Biao ; Cui, Kaijie ; Du, Zunwei ; Fei, Glenn |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 1, p. 19-34
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| Subject: | scenario weight | stressed expected credit loss | loss severity | recession probability; Vasicek distribution | probit mixed mode | Kreditrisiko | Credit risk | IFRS | Verlust | Loss | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Konjunktur | Business cycle | Bilanzierungsgrundsätze | Accounting standards | Statistische Verteilung | Statistical distribution |