How do bank managers forecast the future in the shadow of the past? An examination of expected credit losses under IFRS 9

IF 2 4区管理学 Q2 BUSINESS, FINANCE

Accounting and Business Research Pub Date : 2022-06-02 DOI:10.1080/00014788.2022.2063104

Ning Du, Alessandra Allini, Marco Maffei

引用次数: 3

Abstract

One of the most significant changes under IFRS 9 is the shift to considering and incorporating forward-looking information to forecast expected credit losses (ECL). This study aims to understand how bank managers incorporate forward-looking information, such as future economic projections, in assessing significant credit risk deterioration, and how bank managers evaluate the reasonableness of different forecast horizons in order to project lifetime ECL. We conducted an experiment with 72 bank managers. Our results reveal that bank managers are reluctant to incorporate good news when historical information indicates a high default risk and potentially large credit loss, and that their ECL estimates are influenced by the upward or downward shift in the forecasted losses. We view these results as consistent with the unconditional conservatism of the new ECL model.

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银行经理如何在过去的阴影下预测未来?根据国际财务报告准则第9号对预期信贷损失的审查

《国际财务报告准则第9号》下最重大的变化之一是转向考虑和纳入前瞻性信息来预测预期信贷损失（ECL）。本研究旨在了解银行经理如何在评估重大信贷风险恶化时纳入前瞻性信息，如未来经济预测，以及银行经理如何评估不同预测范围的合理性，以预测终身ECL。我们对72名银行经理进行了一项实验。我们的研究结果表明，当历史信息表明违约风险高和潜在的大额信贷损失时，银行经理不愿意纳入好消息，并且他们的ECL估计受到预测损失向上或向下变化的影响。我们认为这些结果与新ECL模型的无条件保守性一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounting and Business Research BUSINESS, FINANCE-

CiteScore

3.40

自引率

11.80%

发文量

期刊介绍： Accounting and Business Research publishes papers containing a substantial and original contribution to knowledge. Papers may cover any area of accounting, broadly defined and including corporate governance, auditing and taxation. However the focus must be accounting, rather than (corporate) finance or general management. Authors may take a theoretical or an empirical approach, using either quantitative or qualitative methods. They may aim to contribute to developing and understanding the role of accounting in business. Papers should be rigorous but also written in a way that makes them intelligible to a wide range of academics and, where appropriate, practitioners.