Incorporating lifecycle and environment in loan-level forecasts and stress tests

Joseph L. Breeden

European Journal of Operational Research, 2016, vol. 255, issue 2, 649-658

Abstract: The new FASB current expected credit loss (CECL) proposal, IASB’s IFRS 9, and regulatory stress testing all require that the industry move toward forecasting probabilities of future events, rather than simply rank-ordering loans. Even more importantly, effective loan pricing requires this same forward-looking, loan-level forecasting.

Keywords: Forecasting; Risk; Banking; Time series; Age-Period-Cohort models (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:255:y:2016:i:2:p:649-658

DOI: 10.1016/j.ejor.2016.06.008

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