Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective /
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....
| Autor principal: | |
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| Otros Autores: | , , |
| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2020.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2020/111 |
| Materias: | |
| Acceso en línea: | Full text available on IMF |