Essays about: "Christian Corfitsen"

Found 1 essay containing the words Christian Corfitsen.

  1. 1. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9

    University essay from KTH/Matematik (Avd.)

    Author : Christian Corfitsen; [2021]
    Keywords : IFRS 9; Expected credit loss; ECL; VAR; Vector Autoregression; Forecasting; Impulse Response Analysis; Forecast Error Variance Decomposition; IFRS 9; Expected credit loss; ECL; VAR; Vektorautoregression; Prognostisering; Impulsresponsanalys; Forecast error variance decomposition;

    Abstract : In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. READ MORE