The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset … (LGD), and exposure at default (EAD). The IFRS 9 standard requires that the ECL model accommodates the influence of the … on impairments. This paper proposes a methodology based on principal component regression (PCR) to adjust IFRS 9 PD term …

are combined to calculate the ECL in an empirical style. In markets where sophisticated IFRS9 models are developed, our … proposed methodology can be used as in two settings: either as a benchmark to compare newly developed IFRS9 models, or, in … markets where limited resources or technological sophistication exists, our methodology can be used to calculate ECL for IFRS9 …

IFRS 9 has changed the way banks recognise credit losses. Under IFRS 9, credit impairment shall be based on more … IFRS 9 affects the path of Norwegian banks' credit losses in bad times. We analyse the effects of IFRS 9 by calculating and … comparing the paths of banks' credit losses under IAS 39 and IFRS 9 in the period 2001-2017. Our results suggest that IFRS 9 may …