Alarm System for Credit Losses Impairment under IFRS 9

Pierre-Emmanuel Thérond

Post-Print from HAL

Abstract: The recent financial crisis has led the IASB to settle new reporting standards for financial instruments. The extended ability to measure some debt instruments at amortized cost is associated with a new impairment losses mechanism: Expected Credit Losses. In this paper, after a brief description of the principles elaborated by IASB for IFRS 9, we propose a methodology using credit default swaps (CDS for short) market prices in order to monitor significant changes in creditworthiness of financial instruments and subsequent credit losses impairment. This methodology is implemented in detail to a real world dataset. Numerical tests are drawn to assess the effectiveness of the procedure especially compared to changes of notation from credit rating agencies.

Keywords: Credit Risk; Default; Detection; Monitoring; Impairment; Accounting; IFRS; Insurance; CDS (search for similar items in EconPapers)
Date: 2014-10-16
References: Add references at CitEc
Citations:

Published in Colloque IFRS – Bâle – Solvency, IAE Poitiers, Oct 2014, Poitiers, France

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Alarm System for Credit Losses Impairment under IFRS 9 (2017)
Working Paper: Alarm system for Credit Losses Impairment under IFRS 9 (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01152097

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().