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  1. Can we take the "stress" out of stress testing?
    applications of generalized structural equation modeling to consumer finance
    Autor*in: Canals-Cerdá, José J.
    Erschienen: January 2021
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 438
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 21, 01 (January 2021)
    Schlagworte: GSEM; stress test; CCAR; CECL; credit risk; regulatory capital; allowances; mortgages
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Limitations of implementing an expected credit loss model
    Autor*in: Bischof, Jannis; Haselmann, Rainer; Kohl, Frederik; Schlueter, Oliver
    Erschienen: [2022]
    Verlag:  DFG Center for Advanced Studies on the Foundations of Law and Finance, House of Finance, Goethe University, Frankfurt am Main, Germany

    The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using forward-looking information. We use supervisory loan-level data from Germany to investigate how banks apply their reporting... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 778
    Fernleihe:
    keine Fernleihe

     

    The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using forward-looking information. We use supervisory loan-level data from Germany to investigate how banks apply their reporting discretion and adjust their lending upon the announcement of the new rules. Our identification strategy exploits a cut-off for the level of provisions at the investment grade threshold based on banks' internal rating of a borrower. We find that banks required to adopt the new rules assign better internal ratings to exactly the same borrowers compared to banks that do not apply IFRS 9 around this cut-off. This pattern is consistent with a strategic use of the increased reporting discretion that is inherent to rules requiring forward-looking loss estimation. At the same time, banks also reduce their lending exposure to exactly those borrowers at the highest risk of experiencing a rating downgrade below the cutoff. These loans would be associated with additional provisions in future periods, both in the intensive and extensive margin. The lending change thus mitigates some of the negative effects of increased reporting opportunism on banks' crisis resilience. However, when these firms with internal ratings around the investment grade cut-off obtain less external funding through banks, the introduction of IFRS 9 will likely also be associated with real economic effects.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/268481
    Schriftenreihe: LawFin working paper ; no. 48
    Schlagworte: Bank Accounting; CECL; Expected credit losses; IFRS 9; Impairments; Loans
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen