Essays about: "expected credit loss model"
Showing result 6 - 10 of 19 essays containing the words expected credit loss model.
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6. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default
University essay from KTH/Matematik (Avd.)Abstract : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. READ MORE
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7. The Relevance of Expected Credit Losses: The effect of IFRS 9 on analyst forecast accuracy
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This study examines how the adoption of the expected loss model under IFRS 9 has affected the forecast accuracy of credit losses. Specifically, we investigate the effect on absolute forecast errors and forecast dispersion. READ MORE
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8. Credit Loss Accounting and Value Relevance: A Comparative Study of Accounting Standards in European Banks
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : By comparing the value relevance of the incurred credit loss model under IAS 39 and the expected credit loss model under IFRS 9 we investigate whether the IASB has succeeded with its goal of improving accounting relevance and quality through the implementation of IFRS 9 and contributed to investors gaining better and more relevant information. Using a modified version of the Ohlson (1995) valuation framework on a sample of 163 European banks (3 756 unique observation) between 2010 and 2020, we find that credit loss accounting under IFRS 9 is more value relevant than under IAS 39, and that the IASB thus has succeeded in this regard. READ MORE
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9. BNPL Probability of Default Modeling Including Macroeconomic Factors: A Supervised Learning Approach
University essay from KTH/Matematisk statistikAbstract : In recent years, the Buy Now Pay Later (BNPL) consumer credit industry associated with e-commerce has been rapidly emerging as an alternative to credit cards and traditional consumer credit products. In parallel, the regulation IFRS 9 was introduced in 2018 requiring creditors to become more proactive in forecasting their Expected Credit Losses and include the impact of macroeconomic factors. READ MORE
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10. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9
University essay from KTH/Matematik (Avd.)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
