CECL and IFRS9 expected credit loss estimation in uncertain economic environments

Jorge R. Sobehart
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Jorge R. Sobehart: Managing Director of Credit and Obligor Risk Analytics, Risk Modelling & Analytics at Citi, USA

Journal of Risk Management in Financial Institutions, 2021, vol. 14, issue 4, 367-380

Abstract: This paper introduces a multiple-scenario expected credit loss framework for capturing uncertainty in economic environments. The framework leverages default likelihood and severity information and their relation to economic activity and provides a more robust approach to the estimation of portfolio losses during periods of significant market uncertainty.

Keywords: expected credit loss (ECL); CECL; IFRS9; economic uncertainty; credit reserves (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2021:v:14:i:4:p:367-380

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