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expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new …
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different impairment rules and their potential effect on bank income and lending, a migration model simulates the “incurred loss …”, the “lifetime loss” and “three bucket” approaches now under consideration by standard setters. The last two “expected loss …
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We model the evolution of stylised bank loan portfolios to assess the impact of IFRS 9 and US GAAP expected loss model … (ECL) on the cyclicality of loan write-off losses, loan loss provisions (LLPs) and capital ratios of banks, relative to the … incurred loss model of IAS 39. We focus on the interaction between the changes in LLPs' charges (the flow channel) and stocks …
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