Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Author/Editor: Marco Gross, Dimitrios Laliotis, Mindaugas Leika, Pavel Lukyantsau
Release Date: © July, 2020
ISBN
: 978-1-51354-908-8
Stock #: WPIEA2020111
None
Stock Status: On back-order
Languages and formats available
| English | French | Spanish | Arabic | Russian | Chinese | Portuguese |
Description
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.
More publications in this series: Working Papers
More publications by: Marco Gross ; Dimitrios Laliotis ; Mindaugas Leika ; Pavel Lukyantsau
