After the release of the final accounting standards for impairment in July 2014 by the IASB, banks will face the next significant methodological challenge after Basel 2. The presented work shares some first methodological thoughts and proposes ways how to approach underlying questions. It starts...

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and scientific attention. The impact of parameter imperfections on the quality of expected loss (EL) in the sense of a fair, unbiased estimate of risk expenses however is barely...