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-10 : 9781513549088
ISBN-13 : 1513549081
Rating : 4/5 (081 Downloads)

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.


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

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
Language: en
Pages: 47
Authors: Mr.Marco Gross
Categories: Business & Economics
Type: BOOK - Published: 2020-07-03 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

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
Stress Testing at the IMF
Language: en
Pages: 73
Authors: Mr.Tobias Adrian
Categories: Business & Economics
Type: BOOK - Published: 2020-02-05 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps
Next Generation Balance Sheet Stress Testing
Language: en
Pages: 45
Authors: Mr. Christian Schmieder
Categories: Business & Economics
Type: BOOK - Published: 2011-04-01 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks
Credibility and Crisis Stress Testing
Language: en
Pages: 64
Authors: Ms.Li L. Ong
Categories: Business & Economics
Type: BOOK - Published: 2013-08-09 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

Credibility is the bedrock of any crisis stress test. The use of stress tests to manage systemic risk was introduced by the U.S. authorities in 2009 in the form
Credit Risk Analytics
Language: en
Pages: 517
Authors: Bart Baesens
Categories: Business & Economics
Type: BOOK - Published: 2016-10-03 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to ef