The new impairment reporting standards require banks to move from incurred loss models to sophisticated macroeconomic based expected credit loss models for current impairment estimation. While the impairments estimation is mainly focused on business as usual macroeconomic projections there is a...

With the introduction of expected credit loss based impairment methodology banks stress testing programs need to include forecasts of stressed impairment losses as an important component in the firmwide stress testing programs. The forecasts of stressed impairment losses are comprised of...