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Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Author:
Mr. Marco Gross null

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Mindaugas Leika null

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Pavel Lukyantsau
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Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 111
Language:
English
Publication Date:
03 Jul 2020
DOI:
https://doi.org/10.5089/9781513549088.001
ISBN:
9781513549088
ISSN:
1018-5941
Pages:
47
Keywords:
WP; transition matrix; financial asset; balance sheet; accounting regime; interest rate; provision stock; bank portfolio model; modeling choice; bank-portfolio level; Lt-ECL ratio; provision flow; International Financial Reporting Standards; Stress testing; Stocks; Loans; Loan loss provisions; Global; Credit risk; IFRS 9; CECL; lifetime probability of default; LGD modeling; Distressed assets
Legal-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.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund