Convexity and correlation effects in expected credit loss calculations for IFRS9/CECL and stress testing
Gaurav Chawla, Lawrence R. Forest Jr., Scott D. Aguais
| Year of publication: |
2017
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|---|---|
| Authors: | Chawla, Gaurav ; Forest, Lawrence R. <Jr.> ; Aguais, Scott D. |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 10.2016/2017, 1, p. 99-110
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| Subject: | point-in-time (PIT) | through-the-cycle (TTC) | IFRS9/CECL | expected credit loss (ECL) | stress testing | correlation | non-linear losses | Theorie | Theory | Kreditrisiko | Credit risk | Korrelation | Correlation | Kreditgeschäft | Bank lending | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011670653