自上而下压力测试视角下的预期信用损失模型

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2020-07-01 DOI:10.5089/9781513549088.001

M. Gross, Dimitrios Laliotis, Mindaugas Leika, Pavel Lukyantsau

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引用次数: 9

摘要

本文的目的是在自上而下的偿付能力压力测试中，为IFRS 9和cecl兼容的估计提供一个集成的工具套件。该工具套件为希望在自上而下的压力测试中包含基于会计的信用风险建模方法的机构提供了示例。

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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.

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Risk Management & Analysis in Financial Institutions eJournal

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