 The effects of IFRS 9 valuation model on cost of risk in commercial banks – the impact of COVID-19Emil Ślązak () and
Magdalena Skwarzec
Bank i Kredyt, 2022, vol. 53, issue 1, 47-78 Abstract: The aim of this paper is to analyse the variables determining the cost of risk in banks after the implementation of IFRS 9 with a particular focus on the COVID-19 pandemic in terms of the quality of credit portfolio. To achieve this we propose a panel research model with quarterly variables determining the cost of risk in commercial banks. The research data was taken from the domestic and European banking sector in 2018–2020 during the initial phase of the COVID-19 pandemic. We show that contrary to regulatory assumptions, procyclical tendencies with a cliff effect have not been eliminated in commercial banks under the IFRS 9 framework. In addition, we observe significant differences in the recognition of loan impairment in the domestic banks versus the EU ones under IFRS 9. However, we demonstrate that IFRS 9 did allow banks to recognise loan impairment reasonably fast in the most acute phase of the COVID-19 pandemic. Keywords: credit risk; cost of risk; IFRS 9; COVID-19 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:53:y:2022:i:1:p:47-78 Access Statistics for this article More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC. |
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