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IFRS 9 in credit risk modelling Evidence from SLOOS for Poland

Author

Listed:
  • Lukasz Prorokowski

    (Masaryk University, Institute of Financial Complex Systems)

Abstract

Analysing model documentation for 17 AIRB and FIRB credit risk models, this paper delivers IFRS 9 gap analysis of the existing models used for capital adequacy requirements. Based on the review of the IFRS 9 regulatory framework, the paper assumes that the use of the existing models may cause IFRS 9-related compliance gaps that render the existing models inadequate for the provisioning of expected losses. Recognising the potential IFRS 9 gaps, the paper addresses the question whether there is synergy between the AIRB and FIRB modelling approaches and the IFRS 9 rules. To this end, the paper confirms that the existing credit risk models cannot be re-used for IFRS 9 in their current forms.

Suggested Citation

  • Lukasz Prorokowski, 2018. "IFRS 9 in credit risk modelling Evidence from SLOOS for Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 639-670.
    • Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:6:p:639-670
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    IFRS 9; credit risk; modelling; validation; compliance;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • M49 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Other

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