Download This PaperExpected Credit Loss Modeling from a Top-Down Stress Testing Perspective
48 Pages Posted: 12 Aug 2020
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: 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). IMF Working Paper No. 20/111, Available at SSRN: https://ssrn.com/abstract=3670602
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