The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit …, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our …

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 …

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 …

We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform … accuracy and rank ordering when mean predictions and squared error loss functions are used. Therefore, the findings in the …