beat earnings benchmarks, we find that abnormal ALL is unrelated to next period's loss avoidance and just meeting or … discretion as a means to build a cushion against future credit losses as they transition from the incurred loss model to the … expected loss model for loan loss accounting …

The ARC ELM is a top-down expected credit loss system that projects the intertemporal effects of both loan default …) time series analysis using historical loan loss and macroeconomic data, while, importantly, also maintaining certain … assumptions about loan portfolio management, loan loss transitioning, and loan loss provisioning, among other factors. This system …

regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …