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CECL and IFRS9 expected credit loss estimation in uncertain economic environments

Author

Listed:
  • Sobehart, Jorge R.

    (Managing Director of Credit and Obligor Risk Analytics, Risk Modelling & Analytics at Citi, USA)

Abstract

This paper introduces a multiple-scenario expected credit loss framework for capturing uncertainty in economic environments. The framework leverages default likelihood and severity information and their relation to economic activity and provides a more robust approach to the estimation of portfolio losses during periods of significant market uncertainty.

Suggested Citation

  • Sobehart, Jorge R., 2021. "CECL and IFRS9 expected credit loss estimation in uncertain economic environments," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 14(4), pages 367-380, September.
    • Handle: RePEc:aza:rmfi00:y:2021:v:14:i:4:p:367-380
    as

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    More about this item

    Keywords

    expected credit loss (ECL); CECL; IFRS9; economic uncertainty; credit reserves;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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