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Estimating Lifetime Expected Credit Losses Under IFRS 9

Authors: Xin Xu;

Estimating Lifetime Expected Credit Losses Under IFRS 9

Abstract

We present an estimation framework of lifetime expected credit losses in accordance with IFRS 9. Rooted in the literature of estimating multi-period default probability, the framework rests on a rigorous definition of "term structure of default probability" and conditional expectation given forward-looking economic dynamics. It is easy to implement and allows banks to adopt simplified and sophisticated modeling strategies alike. We consider numerous modeling strategies within this framework, and demonstrate examples of implementation.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
11
Top 10%
Top 10%
Top 10%
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