In the last two decades, both internal and external risk management of banks have undergone significant developments. Banking supervision encourages banks to use a risk-based approach for computing minimum regulatory capital. Accounting rules have been tightened requiring more timely loss...

Banks reporting under IFRS have to build provisions for expected credit losses in their financial statement. The rules for determining loan loss provisions have been reformed in 2014 by the International Accounting Standards Board and been published under IFRS 9. A new requirement which was not...

In the last two decades, both internal and external risk management of banks has undergone significant developments. Substantial investments into data collection have been made and this data is used for estimating internal credit risk models. The resulting risk parameters are required for...

In the current regulatory environment, banks are required to quantify credit risk by means of default probabilities, loss rates conditional on default and expected exposures for a number of purposes: Regulatory capital calculation, loan loss provisioning and stress testing. The nature of each...