Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

48 Pages Posted: 12 Aug 2020

See all articles by Marco Gross

Marco Gross

International Monetary Fund (IMF); European Central Bank (ECB)

Dimitrios Laliotis

European Central Bank (ECB); International Monetary Fund (IMF)

Mindaugas Leika

International Monetary Fund (IMF)

Pavel Lukyantsau

International Monetary Fund (IMF)

Date Written: July 1, 2020

Abstract

The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.

Keywords: Financial crises, Financial institutions, Financial instruments, Macroprudential policies and financial stability, Financial systems, Credit risk, IFRS 9, CECL, lifetime probability of default, LGD modeling., WP, LGD, transition matrix, ECL, z-score, PDs

JEL Classification: M40, G20, E01, G21, M41, E52, K2

Suggested Citation

Gross, Marco and Laliotis, Dimitrios and Laliotis, Dimitrios and Leika, Mindaugas and Lukyantsau, Pavel, Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective (July 1, 2020). Available at SSRN: https://ssrn.com/abstract=3670602 or http://dx.doi.org/10.2139/ssrn.3670602

Marco Gross (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Dimitrios Laliotis

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Mindaugas Leika

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Pavel Lukyantsau

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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