Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
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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. The tool suite is made available online along with this paper.
Series:
Working Paper No. 2020/111
Subject:
Distressed assets Financial institutions Financial regulation and supervision Financial sector policy and analysis International Financial Reporting Standards Loans Stocks Stress testing
Frequency:
regular
English
Publication Date:
July 3, 2020
ISBN/ISSN:
9781513549088/1018-5941
Stock No:
WPIEA2020111
Pages:
47
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