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IFRS 9 in credit risk modelling Evidence from SLOOS for Poland

Lukasz Prorokowski ()
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Lukasz Prorokowski: Masaryk University, Institute of Financial Complex Systems

Bank i Kredyt, 2018, vol. 49, issue 6, 639-670

Abstract: Analysing model documentation for 17 AIRB and FIRB credit risk models, this paper delivers IFRS 9 gap analysis of the existing models used for capital adequacy requirements. Based on the review of the IFRS 9 regulatory framework, the paper assumes that the use of the existing models may cause IFRS 9-related compliance gaps that render the existing models inadequate for the provisioning of expected losses. Recognising the potential IFRS 9 gaps, the paper addresses the question whether there is synergy between the AIRB and FIRB modelling approaches and the IFRS 9 rules. To this end, the paper confirms that the existing credit risk models cannot be re-used for IFRS 9 in their current forms.

Keywords: IFRS 9; credit risk; modelling; validation; compliance (search for similar items in EconPapers)
JEL-codes: C18 C51 C52 G21 M49 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:6:p:639-670