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

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Author :
Publisher : International Monetary Fund
Total Pages : 47
Release :
ISBN-13 : 9781513549088
ISBN-10 : 1513549081
Rating : 4/5 (81 Downloads)
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Book Synopsis Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective by : Mr.Marco Gross

Download or read book Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective written by Mr.Marco Gross and published by International Monetary Fund. This book was released on 2020-07-03 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


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