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Displaying results 1 to 10 of 10.

  1. The cyclicality of bank credit losses and capital ratios under expected loss model
    Author: Fatouh, Mahmoud; Giansante, Simone
    Published: [2023]
    Publisher:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 443
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 1013 (January 2023)
    Subjects: IFRS 9; IAS 39; US GAAP; expected credit loss model; loan loss provisions; cyclicality of bank profits; leverage ratio; risk-weighted assets
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Evidence on IFRS 9 implementation from a sample of Italian banks and other financial intermediaries
    Author: Giovannini, Francesco; Schifino, Antonio
    Published: [2023]
    Publisher:  Banca d'Italia, [Rom]

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    Language: English
    Media type: Book
    Format: Online
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    Series: Questioni di economia e finanza / Banca d'Italia ; number 784 (July 2023)
    Subjects: IFRS 9; COVID-19; banks; non-bank financial institutions; accounting; overlays
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  3. L' attuazione in Italia del principio contabile IFRS 9 da parte di banche di minore dimensione e intermediari finanziari
    prime evidenze
    Author: Canton, Andrea; Loizzo, Tommaso; Schimperna, Federico
    Published: [2021]
    Publisher:  Banca d'Italia, [Rom]

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    Source: Union catalogues
    Language: Italian
    Media type: Book
    Format: Online
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    Series: Questioni di economia e finanza / Banca d'Italia ; number 644 (October 2021)
    Subjects: IFRS 9; Covid-19; banche; intermediari; contabilità; vigilanza
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. Profit smoothing of European banks under IFRS 9
    Author: Jakubíková, Oľga
    Published: 2022
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2022, 3
    Subjects: IFRS 9; loan loss provisions; profit smoothing
    Scope: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  5. Limitations of implementing an expected credit loss model
    Author: Bischof, Jannis; Haselmann, Rainer; Kohl, Frederik; Schlueter, Oliver
    Published: [2022]
    Publisher:  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... more

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    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.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268481
    Series: LawFin working paper ; no. 48
    Subjects: Bank Accounting; CECL; Expected credit losses; IFRS 9; Impairments; Loans
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  6. Repo and reverse repo activity of European banks
    market activity, accounting and disclosure
    Author: Löw, Edgar; Riegel, Annika Patricia Michelle
    Published: 13/07/2020
    Publisher:  European Banking Institute e.V., Frankfurt am Main, Germany

    Repurchase agreements are money market instruments that are used widely and for various purposes due to their simplicity and flexibility. The European repo market is quite concentrated, as 80% of the transactions is conducted be-tween the top 20... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Repurchase agreements are money market instruments that are used widely and for various purposes due to their simplicity and flexibility. The European repo market is quite concentrated, as 80% of the transactions is conducted be-tween the top 20 banks and 61.9% of the collaterals used in the European repo market are originated in the Eurozone. Especially, for Europe the repo market is more important than ever, as it reached an all-time high of EUR 7,351 billion in June 2018. Even though the repo market is quite extensive and important, with respect to repos, there has no literature been found, which deals with the disclosure requirements of IFRS 7 in the European banking industry so far.How disproportionate the attention paid to repos is, becomes apparent by examining the financial statement of one German bank. It was noticed, that the information provided on repos was not too extensive, even though repos ac-counted for approximately 39% of the bank's total assets. The example of Lehman Brothers shows how important it is to formulate appropriate accounting standards that actually reflect the true nature of transactions. The extent of the financial crisis of 2007-2008 may have been reduced, if their troubled situation would have been disclosed honestly in the first place.As the mandatory requirements of IFRS 7 should ensure, that sufficient and decision-useful information to enable users of financial statements to under-stand the risks arising from repos is disclosed, the first step is to review, if the mandatory requirements are fulfilled. 38 IFRS 7 criteria were derived from these mandatory requirements. Besides these mandatory criteria, some supplementary information was gathered. The sample which was examined within this empirical analysis consists of 66 banks from 19 European countries. It will be shown from the 5-year averages that European banks only complied on average with 54%, i.e. only slightly more than half of the mandatory disclosure requirements of IFRS 7, which apply to repos

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: EBI working paper series ; no. 69 (2020)
    European Banking Institute Working Paper Series 2020 - ; no. 69
    Subjects: Repo; Banks; Accounting; Disclosure; IFRS 7; IFRS 9; Disclosure-Index
    Scope: 1 Online-Ressource (circa 104 Seiten), Illustrationen
  7. Exploring the sources of loan default clustering using survival analysis with frailty
    Author: Bátiz-Zuk, Enrique; Mohamed, Abdulkadir; Sánchez-Cajal, Fátima
    Published: September 2021
    Publisher:  [Banco de México], [Ciudad de México, México]

    This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro,... more

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    This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010 to 2018, we test whether classifying loans by the bank's systemic importance, industry or at individual firm level enhances the predictions of loans defaults. Our results show that loans granted by Domestic Systemically Important Banks contribute to the default clustering in micro and small firm loans. This is due to aggregate default rate levels and clusters that are large for these firms loans compared with loans provided to medium-sized firms. These findings have important implications for bank's expected loss management related to the correlated loan default risk.

     
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    Language: English
    Media type: Book
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    hdl: 10419/251285
    Series: Working papers / Banco de México ; no 2021, 14
    Subjects: Credit risk; Parametric survival analysis; Accelerated Failure Time (AFT) models; Shared frailty models; IFRS 9
    Scope: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  8. Essays on Financial Accounting and Prudential Banking Regulation
    Author: Rugilo, Daniel
    Published: 2021
    Publisher:  Universitäts- und Stadtbibliothek Köln, Köln

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: IFRS 9; Financial Stability; Basel III; Prudential Regulation; ECL
    Scope: 1 Online-Ressource (circa 233 Seiten), Illustrationen
    Notes:

    Dissertation, Universität zu Köln, 2021
  9. Essays on systemic risk and financial stability
    Author: Kund, Arndt-Gerrit
    Published: 2021
    Publisher:  Universitäts- und Stadtbibliothek Köln, Köln

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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Hartmann-Wendels, Thomas (AkademischeR BetreuerIn); Hess, Dieter (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Financial Stability; Systemic Risk; Bank Regulation; Default Prediction; IFRS 9; CoCo-bond
    Scope: 1 Online-Ressource (circa 170 Seiten), Illustrationen
    Notes:

    Dissertation, Universität zu Köln, 2021
  10. IFRS 9 and its behaviour in the cycle: the evidence on EU countries
    Author: Witzany, Jiří; Pastiranová, Oľga
    Published: 2021
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2021, 3
    Subjects: IFRS 9; loan loss provisions; procyclicality
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen