The Impact of Expectations on IFRS 9 Loan Loss Provisions

Petr Polak and Jiri Panos

Research and Policy Notes from Czech National Bank, Research and Statistics Department

Abstract: This paper describes the implementation of the IFRS 9 accounting standard into a macroprudential (top-down) stress-testing framework. It sets out to present a possible way of overcoming data issues and discusses key assumptions which have an effect on the end results and which stress testers should be aware of. According to the results, macroeconomic expectations play a crucial role in the pass-through of impairment. The paper also presents evidence about the pro-cyclicality of the IFRS 9 approach.

Keywords: IFRS 9; impairments; loan loss provisions; macroprudential policy; stress testing (search for similar items in EconPapers)
JEL-codes: E44 E62 G01 G21 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-acc, nep-ban, nep-cba and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:rpnrpn:2019/03

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