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

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.

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Bibliographic details
Main Author: Mindaugas Leika
Marco Gross
Mr.Marco Gross
Dimitrios Laliotis
Pavel Lukyantsau
Pavel Lukyantsa
Format: eBook
Language: English
Place of publication: INTERNATIONAL MONETARY FUND 03.07.2020
Data of publication: 07/03/2020
ISBN: 9781513549088
Online Access: Fulltext
Database: IMF Books & Analytical Papers
IMF E-Library
International Monetary Fund (IMF)
Database information Databases - DBIS