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Variety of methodologies used in IFRS 9 impairment modelling

Document

Author: 
Daniela Thakkar (GCD)
Topics: 
Expected loss modelling under IFRS 9 / CECL
Point-in-time vs Through-the cycle PD modelling
Modelling stage allocation / SICR for IFRS 9
Scenarios / Forword-looking information under IFRS 9 / CECL
Modelling PD term structures under IFRS 9 / CECL
Modelling LGD under IFRS 9 / CECL
Description: 

This presentation has been prepared by GCD executives to present at the Task Force Provisioning of the Basel Committee. It zooms into the reasons of variability of ECL between banks. The study is citing elements from our IFRS 9 survey and includes analytics on the PD ODF datapool.

File Type: 
Whitepapers for members only
Publication Year: 
2017
Groups audience: 
- Private group -
Workflow status: 
Final
Group content visibility: 
Public - accessible to all site users
Short Description: 
This presentation has been prepared by GCD executives to present at the Task Force Provisioning of the Basel Committee.