expected losses, as reflected in loan loss allowances, we establish a theoretical link to asset volatility. We document a … sensitivity regarding loan loss allowances has been insufficient, at least since the financial crisis …

reporting fewer provisions or lower loan losses motivate credit risk teams to game the system that work to determine loan loss … games, they do not care if their behaviour destroys bank value and the informativeness of loan loss provisioning estimates … provisioning discretion of credit risk teams but rather to de-link credit risk teams' bonuses from the magnitude of loan loss …

determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management …

determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management …

integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss …

This paper makes a fundamental contribution by studying loan-loss provisioning over the credit cycle as three distinct …-crisis period — is important as loan-loss provisioning is driven by different factors in each, in part due to extensive shifts in … (or in the application of) regulatory rule. We show evidence of forward-looking loan-loss provisioning by utilizing Senior …

- 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 …

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 …

risk-taking discipline. Thus, proposals to change loan loss accounting embed significant risks of unintended consequences …