Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

Author/Editor:

Marco Gross ; Dimitrios Laliotis ; Mindaugas Leika ; Pavel Lukyantsau

Publication Date:

July 3, 2020

Electronic Access:

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Link to data for this title

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Summary:

The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.

Series:

Working Paper No. 20/111

Subject:

Frequency:

regular

English

Publication Date:

July 3, 2020

ISBN/ISSN:

9781513549088/1018-5941

Stock No:

WPIEA2020111

Format:

Paper

Pages:

47

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