IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/2020-111.html
   My bibliography  Save this paper

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

Author

Listed:
  • Mr. Marco Gross
  • Mr. Dimitrios Laliotis
  • Mindaugas Leika
  • Pavel Lukyantsau

Abstract

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. The tool suite is made available online along with this paper.

Suggested Citation

  • Mr. Marco Gross & Mr. Dimitrios Laliotis & Mindaugas Leika & Pavel Lukyantsau, 2020. "Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective," IMF Working Papers 2020/111, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2020/111
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=49545
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andras Viktor Szabo, 2022. "Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(1), pages 56-94.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2020/111. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.