Elior Alena Olegovna
Application of forecast macroeconomic information when calculating expected credit losses according to IFRS 9
ID number: J201958
Abstract: The main distinguishing feature of IFRS 9 from IAS 39 is a different approach to estimating credit losses, which involves taking into account not only the events that have occurred (for example, overdue), but also an assessment of events in the future. The paper presents example and algorithm for adjusting historical probabilities of default from external credit agencies to macroeconomic forecast information.
Key-words: probability of default, IFRS 9, expected credit losses, financial assets, statistics
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