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.
|Place of publication:||
INTERNATIONAL MONETARY FUND 03.07.2020
|Data of publication:||07/03/2020|
|Database:||IMF Books & Analytical Papers
International Monetary Fund (IMF)
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