Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective
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Cited by:
- Andras Viktor Szabo, 2022. "Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 21(1), pages 56-94.
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Keywords
WP; transition matrix; financial asset; balance sheet; accounting regime; interest rate; provision stock; bank portfolio model; modeling choice; bank-portfolio level; Lt-ECL ratio; provision flow; International Financial Reporting Standards; Stress testing; Stocks; Loans; Loan loss provisions; Global; Credit risk; IFRS 9; CECL; lifetime probability of default; LGD modeling; Distressed assets;All these keywords.
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This paper has been announced in the following NEP Reports:- NEP-ACC-2021-01-25 (Accounting and Auditing)
- NEP-BAN-2021-01-25 (Banking)
- NEP-RMG-2021-01-25 (Risk Management)
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