Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective PDF Download

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Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective PDF Author: Mr.Marco Gross
Publisher: International Monetary Fund
ISBN: 1513549081
Category : Business & Economics
Languages : en
Pages : 47

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Book Description
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.