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
Volume: 20
Main Author: Groß, Marco
Format: Publication
Language: English
Place of publication: Washington, DC International Monetary Fund 2020
published in: IMF working paper Vol. 20; no. 111
Data of publication: 2020
ISBN: 1513549081
ISSN: 1018-5941
Discipline: Business
Series: IMF working paper
Online Access: available in Bonn?
Database: ECONIS
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