Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
| Author | : Mr.Marco Gross |
| Publisher | : International Monetary Fund |
| Total Pages | : 47 |
| Release | : 2020-07-03 |
| ISBN-10 | : 9781513549088 |
| ISBN-13 | : 1513549081 |
| Rating | : 4/5 (88 Downloads) |
Book Synopsis Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective by : Mr.Marco Gross
Download or read book Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective written by Mr.Marco Gross and published by International Monetary Fund. This book was released on 2020-07-03 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
