Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests. READ MORE...

Publication date: July 2020
ISBN 9781513549088
$18.00

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