Sizing the Stage 2 Portfolio for IFRS 9 Provisions

IFRS 9 norms require classifying non-defaulted loans into two stages depending on their credit quality evolution since initial recognition by the bank. In this paper, we propose an optimal way to perform this classification. Target values of some key performance indicators of the provisioning model emerge from the implementation of this process. In particular we compute the target value of the stage 2 "Hit Rate" and the size of the stage 2 portfolio

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Year of publication:	2016
Authors:	Brunel, Vivien
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| IFRS

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 15, 2016 erstellt
Other identifiers:	10.2139/ssrn.2606080 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C60 - Mathematical Methods and Programming. General ; M40 - Accounting and Auditing. General ; M41 - Accounting ; m47
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013004744