Estimating expected credit losses on banks' portfolios has long been difficult. The issue has become of increasing interest to academics and regulators, as the FASB and IASB consider new regulations for impairment of loans. This study develops a measure of the one-year-ahead expected rate of...

This study develops a timely and unbiased measure of expected credit losses. The expected rate of credit losses (ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL performs substantially better than net charge-offs,...

Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to academics and regulators with the FASB and IASB issuing new regulations for loan impairment. We develop a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL)...

This study develops and evaluates a model that generates synthetic credit ratings using accounting and market based information. The model performs very well in explaining agency ratings, suggesting that fitted values for unrated companies are likely to be reasonably precise. In addition, the...

The DuPont decomposition of profitability into profit margin and asset turnover has been applied extensively to forecast future profits. This paper provides a complementary analysis under which the DuPont decomposition also informs about the risk that profits may differ from expectation. In the...

Accounting Standard Codification (ASC) Topic 842, which is effective since 2019, requires balance sheet recognition of operating lease obligations and right-of-use (ROU) assets. For many firms, the implementation of this standard resulted in a large increase in reported operating assets, thus...