- abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches … increases, expected losses decouple from unexpected losses, which reflect a high percentile of the loss distribution. Banks that … ignore this decoupling have shortfalls of loss-absorbing resources, which is more detrimental if the portfolio is more …

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 …

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 …

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 …