Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
July 3, 2020
Download PDF
Preview Citation
Format: Chicago
Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Summary
Subject: Distressed assets, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, International Financial Reporting Standards, Loans, Stocks, Stress testing
Keywords: Accounting regime, Balance sheet, Bank portfolio model, Bank-portfolio level, CECL, Credit risk, Distressed assets, Financial asset, Global, IFRS 9, Interest rate, International Financial Reporting Standards, LGD modeling, Lifetime probability of default, Loan loss provisions, Loans, Lt-ECL ratio, Modeling choice, Provision flow, Provision stock, Stocks, Stress testing, Transition matrix, WP
Publication Details
-
Pages:
47
-
Volume:
---
-
DOI:
---
-
Issue:
---
-
Series:
Working Paper No. 2020/111
-
Stock No:
WPIEA2020111
-
ISBN:
9781513549088
-
ISSN:
1018-5941
