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

Author

Listed:
  • Mr. Marco Gross
  • Mr. Dimitrios Laliotis
  • Mindaugas Leika
  • Pavel Lukyantsau

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. The tool suite is made available online along with this paper.

Suggested Citation

  • Mr. Marco Gross & Mr. Dimitrios Laliotis & Mindaugas Leika & Pavel Lukyantsau, 2020. "Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective," IMF Working Papers 2020/111, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:2020/111
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=49545
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    Cited by:

    1. 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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