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Credit Loss in Translation : Informing Bank Provisions and Capital Buffer Requirements with Forward-Looking Credit Loss Distributions / Marco Gross, Laurent Millischer.
- Format:
- Book
- Government document
- Author/Creator:
- Gross, Marco.
- Series:
- IMF Working Papers; Working Paper ; No. 2025/228
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (58 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2025.
- Summary:
- We develop a model framework that can be used to derive the forward-looking credit loss distributions for banks' credit exposures, to use it for (1) assessing the adequacy of provisions at the bank-portfolio level; (2) macro stress testing; and (3) informing the sufficiency of capital requirements, both from a micro- and macro-prudential perspective. The model is semi-structural and simulation-based, entailing a large number of simulated macro-financial scenarios instead of employing handpicked scenarios and ad-hoc scenario weights. The way the model-based credit loss distributions are generated can be made compatible with IFRS 9 or any other accounting regime. The model codes are made available online along with this paper.
- Notes:
- Description based on print version record.
- ISBN:
- 979-82-290-2989-6
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