Journal ArticleOPEN ACCESS

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

  • Gross M
  • Laliotis D
  • Leika M
  • et al.
IMF Working Papers (2020) 20(111)
DOI: 10.5089/9781513549088.001
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Abstract

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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APA

Gross, M., Laliotis, D., Leika, M., & Lukyantsau, P. (2020). Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective. IMF Working Papers, 20(111). https://doi.org/10.5089/9781513549088.001

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