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  1. COVID-19 and auto loan origination trends
    Autor*in: Canals-Cerdá, José J.; Lee, Brian Jonghwan
    Erschienen: [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:
    Auflage/Ausgabe: This version: July 30, 2021
    Schriftenreihe: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 21, 28 (August 2021)
    Schlagworte: auto loans; loan originations; COVID-19; consumer credit; bank and non-bank finance
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. 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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    Verlag (kostenfrei)
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 438
    Fernleihe:
    keine Fernleihe
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    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
  3. From incurred loss to Current Expected Credit Loss (CECL)
    a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
    Autor*in: Canals-Cerdá, José J.
    Erschienen: February 2020
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 438
    Fernleihe:
    keine Fernleihe

     

    The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling challenges during CECL implementation. We look back at nine years of account-level credit card data, starting with 2008, over a time period encompassing the bulk of the Great Recession as well as several years of economic recovery. We analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our analysis indicates that allowances are significantly impacted by specific payment allocation assumptions as well as downturn economic conditions. We also compare projected allowances with realized credit losses and observe a significant divergence resulting from the revolving nature of credit card portfolios. We extend our analysis across segments of the portfolio with different risk profiles. Interestingly, less risky segments of the portfolio are proportionally more impacted by specific payment assumptions and downturn economic conditions. We also analyze the impact of macroeconomic forecast error and find that it can be substantial and can be impacted by CECL implementation design features. Overall, our findings suggest that the effect of the new allowance framework on a specific credit card portfolio will depend critically on its risk profile. Thus, our findings should be interpreted qualitatively, rather than quantitatively. Finally, the goal is to gain a better understanding of the sensitivity of allowances to plausible variations in assumptions about the allocation of future payments to present credit card loans. Thus, we do not offer specific best practice guidance

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 20, 09 (February 2020)
    FRB of Philadelphia Working Paper ; No. 20-09
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. From incurred loss to Current Expected Credit Loss (CECL)
    a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
    Autor*in: Canals-Cerdá, José J.
    Erschienen: January 2019
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling... mehr

    Zugang:
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 438
    Fernleihe:
    keine Fernleihe

     

    The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling challenges during CECL implementation. We look back at nine years of account level credit card data, starting with 2008, over a time period encompassing the bulk of the Great Recession as well as several years of economic recovery. We analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our analysis indicates that allowances are significantly impacted by specific payment allocation assumptions as well as downturn economic conditions. We also compare projected allowances with realized credit losses and observe a significant divergence resulting from the revolving nature of credit card portfolios. We extend our analysis across segments of the portfolio with different risk profiles. Interestingly, fewer risky segments of the portfolio are proportionally more impacted by specific payment assumptions and downturn economic conditions. Our findings suggest that the effect of the new allowance framework on a specific credit card portfolio will depend critically on its risk profile. Thus, our findings should be interpreted qualitatively, rather than quantitatively. Finally, the goal is to gain a better understanding of the sensitivity of allowances to plausible variations in assumptions about the allocation of future payments to present credit card loans. Thus, we do not offer specific best practice guidance

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; 19, 08 (January 2019)
    FRB of Philadelphia Working Paper ; No. 19-8
    Schlagworte: expected credit losses; allowances; unconditionally cancellable; revolving credit; credit loss
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  5. Credit risk analysis of credit card portfolios under economic stress conditions
    Autor*in: Banerjee, Piu; Canals-Cerdá, José J.
    Erschienen: 2012
    Verlag:  Federal Reserve Bank of Philadelphia, Research Dep., Philadelphia, Pa.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / Federal Reserve Bank of Philadelphia, Research Department ; 12,18
    Umfang: Online-Ressource (44 S.), graph. Darst.
  6. Consumer risk appetite, the credit cycle, and the housing bubble
    Autor*in: Breeden, Joseph L.; Canals-Cerdá, José J.
    Erschienen: February 2016
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; no. 16-05
    Schlagworte: credit risk; credit cycle; mortgages; lending standards; financial crisis
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  7. Credit risk modeling in segmented portfolios
    an application to credit cards
    Autor*in: Canals-Cerdá, José J.; Kerr, Sougata
    Erschienen: 2015
    Verlag:  Federal Reserve Bank of Philadelphia, Research Dep., Philadelphia, Pa.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / Federal Reserve Bank of Philadelphia, Research Department ; 15,08
    Schlagworte: Credit cards; Credit risk; Stress test; Risk segmentation
    Umfang: Online-Ressource (24 S.), graph. Darst.
  8. Forecasting credit card portfolio losses in the Great Recession
    a study in model risk
    Autor*in: Canals-Cerdá, José J.; Kerr, Sougata
    Erschienen: 2014
    Verlag:  Federal Reserve Bank of Philadelphia, Research Dep., Philadelphia, Pa.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / Federal Reserve Bank of Philadelphia, Research Department ; 14,10
    Umfang: Online-Ressource (36 S.), graph. Darst.
  9. Endogenous/exogenous segmentation in the A-IRB framework and the pro-cyclicality of capital
    an application to mortgage portfolios
    Autor*in: Canals-Cerdá, José J.
    Erschienen: March 2017
    Verlag:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; no. 17, 09
    Schlagworte: Basel Accord; credit risk; regulatory capital; mortgages
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen