Purpose This article aims to analyze the impact of COVID-19 measures by governments and
central banks on International Financial Reporting Standards (IFRS) 9 loan loss provisions …

The International Financial Reporting Standards (IFRS) 9 accounting standard gives rise to
impairments that are sensitive to the economic cycle. Rules around stage migration and the …

This paper provides practical recommendations for the validation of the backtesting process
under the targeted review of internal models (TRIM). It advises on the introductory steps for …

In this paper, we provide an overview of the credit model approaches for lifetime impairment
models. The main focus is on the models for credit risk term-structures, which are a …

Abstract The Global Financial Crisis (GFC) demonstrated the devastating impact of extreme
credit risk on global economic stability. We develop four credit models to better measure …

Credit ratings are expert systems which assess the likelihood of a borrower to default. The
Basel Accord allows banks to base regulatory capital requirements on the default probability …

Since the development of the first credit portfolio models at the end of the last century (eg,
CreditMetrics by JP Morgan and CreditRisk+ by Credit Suisse First Boston), the estimation of …

While regulators generate and advocate the use of through the cycle (TtC) probabilities of
default (PDs) for regulatory capital calculations, accounting standards (such as IFRs9) …

According to the IFRS 9 standard, if the credit risk on an instrument has increased
“significantly” since the instrument's original recognition and the resulting credit risk is more …

In the last two decades, both internal and external risk management of banks have
undergone significant developments. Banking supervision encourages banks to use a risk …