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A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation
Jacobs, Michael - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-36
The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of models that support CECL, across...
Persistent link: https://www.econbiz.de/10013200274
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An analysis of the impact of modeling assumptions in the Current Expected Credit Loss (CEFL) framework on the provisioning for credit loss
Jacobs, Michael <Jr.> - In: Journal of risk & control 6 (2019) 1, pp. 65-112
Persistent link: https://www.econbiz.de/10012237603
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CECL and the credit cycle
Loudis, Bert; Ranish, Ben - 2019
We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending over the economic cycle. In particular, if the CECL standard had always been in place, we estimate that lending would have grown more slowly leading up to the financial crisis...
Persistent link: https://www.econbiz.de/10012182062
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Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22
In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...
Persistent link: https://www.econbiz.de/10012698321
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The impact of the current expected credit loss standard (CECL) on the timing and comparability of reserves
Chae, Sarah; Sarama, Robert F.; Vojtech, Cindy M.; … - 2018
The new forward-looking credit loss provisioning standard, CECL, is intended to promote proactive provisioning as loan loss reserves can be conditioned on expectations of the economic cycle. We study the degree to which one modeling decision–expectations about the path of future house...
Persistent link: https://www.econbiz.de/10011927112
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Does IFRS 9 increase banks' resilience?
Kund, Arndt-Gerrit; Rugilo, Daniel - 2023
IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper … analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … only recognized with hindsight, and thus late and abruptly. IFRS 9 was designed to mitigate this issue through a staging …
Persistent link: https://www.econbiz.de/10014230334
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Same same but different : credit risk provisioning under IFRS 9
Behn, Markus; Couaillier, Cyril - 2023
We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential …. Additionally, banks with a larger capital headroom provision significantly more, particularly for loans using IFRS 9. This suggests …
Persistent link: https://www.econbiz.de/10014362650
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Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael - In: International Journal of Financial Studies 9 (2021) 4, pp. 1-22
In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...
Persistent link: https://www.econbiz.de/10013200388
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Identifying the provisioning policies of Belgian banks
Arbak, Emrah - 2017
Loan loss reserves make up an essential part of a bank's soundness and more generally its viability. An under-provisioned reserve account implies that capital ratios may overstate a bank's ability to absorb future losses. For this reason, both supervisory authorities and investors regularly...
Persistent link: https://www.econbiz.de/10011698559
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Can Accounting Regulation Strengthen Resilience? The Impact of IFRS 9 Adoption on Loan Loss Provisioning and Bank Behavior
Mies, Michael; Menk, Michael Torben - 2023
. Thus, this paper provides early empirical evidence of the IFRS 9 transition for bank supervisors, governments, and …
Persistent link: https://www.econbiz.de/10014349809