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Practical Credit Risk and Capital Modeling, and Validation : CECL, Basel Capital, CCAR, and Credit Scoring with Examples
Chen, Colin - 2024
, and validation for Current Expected Credit Loss (CECL), International Financial Reporting Standard 9 (IFRS9), Basel … Techniques -- Allowance for Credit Loss and CECL -- Capital Management and Risk Weighted Asset -- Stress Test and CCAR …
Persistent link: https://www.econbiz.de/10014524754
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Loan loss provisions and return predictability : a dynamic perspective
Gao, Phoebe; Lim, Chu Yeong; Liu, Xiumei; Zeng, Cheng - In: China journal of accounting research : CJAR 15 (2022) 2, pp. 1-20
This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994-2017. We find that …
Persistent link: https://www.econbiz.de/10013269515
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The implications of credit risk modeling for banks’ loan loss provisions and loan-origination procyclicality
Bhat, Gauri; Ryan, Stephen G.; Vyas, Dushyantkumar - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2116-2141
Persistent link: https://www.econbiz.de/10012039734
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Good buffer, bad buffer
Jayaraman, Sudarshan; Schonberger, Bryce; Wu, Joanna Shuang - 2017
Bank regulators and academics have long conjectured the beneficial effects of smoothing in loan loss provisions (i … highlight the tradeoff between bank stability and transparency inherent in smoothing loan loss provisions – while proactive …
Persistent link: https://www.econbiz.de/10011800688
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The impact of expectations on IFRS 9 loan loss provisions
Polák, Petr; Panoš, Jiří - 2019
Persistent link: https://www.econbiz.de/10012231637
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Credit risk forecasting modelling and projections under IFRS 9
Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101
Persistent link: https://www.econbiz.de/10012041846
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Forecasting loss given default of bank loans with multi-stage model
Tanoue, Yuta; Kawada, Akihiro; Yamashita, Satoshi - In: International journal of forecasting 33 (2017) 2, pp. 513-522
Persistent link: https://www.econbiz.de/10011922923
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Loss given default : estimating by the conditional minimum value
Ammari, Mustapha; Lakhnati, Ghizlane - In: International journal of economics and financial issues … 7 (2017) 3, pp. 779-785
Persistent link: https://www.econbiz.de/10011823132
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Predicting loss given default of unsecured consumer loans with time-varying survival scores
Li, Aimin; Li, Zhiyong; Bellotti, Anthony - In: Pacific-Basin finance journal 78 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014463798