Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

Marco Gross, Dimitrios Laliotis, Mindaugas Leika and Pavel Lukyantsau

No 2020/111, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 47
Date: 2020-07-03
New Economics Papers: this item is included in nep-acc, nep-ban and nep-rmg
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Citations: View citations in EconPapers (1)

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