What is the Sustainable Level of Banks’ Credit Losses and Provisions?

IF 0.4 Q4 ECONOMICS
Simona Malovaná, Ž. Tesařová
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Abstract

Abstract In this paper, we estimate the sustainable level of lifetime expected credit losses and provisions and assess the procyclicality of banks’ credit losses and provisions in the Czech Republic. Further, we discuss the implications of the results for provisioning in stage 3 under the IFRS 9. Based on the estimation results, we can identify periods of insufficient provisioning when the actual values were below the sustainable levels. Additionally, we show that credit losses and provisions behave procyclically (i.e., decrease with a rising output gap and increase with a falling output gap) while banks recognize impaired credit losses and create provisions with a delay of three to four quarters after the output gap starts shrinking. Such a delay may result in a sharp increase in lifetime expected credit losses and provisioning in response to a deterioration in economic conditions under the IFRS 9 regime.
银行信贷损失和准备金的可持续水平是多少?
在本文中,我们估计了终身预期信贷损失和拨备的可持续水平,并评估了捷克共和国银行信贷损失和拨备的顺周期性。此外,我们将讨论结果对IFRS 9第3阶段拨备的影响。根据估计结果,当实际值低于可持续水平时,我们可以识别供应不足的时期。此外,我们表明,信贷损失和拨备表现出顺周期性(即,随着产出缺口的增加而减少,随着产出缺口的下降而增加),而银行承认受损的信贷损失,并在产出缺口开始缩小后延迟三到四个季度创造拨备。根据《国际财务报告准则第9号》(IFRS 9)制度,这种延迟可能导致终身预期信贷损失和拨备急剧增加,以应对经济状况的恶化。
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
CiteScore
1.40
自引率
0.00%
发文量
10
审稿时长
38 weeks
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