IFRS 9 in credit risk modelling

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00124777" target="_blank" >RIV/00216224:14560/18:00124777 - isvavai.cz</a>

Result on the web

<a href="http://bankikredyt.nbp.pl/content/2018/06/BIK_06_2018_03.pdf" target="_blank" >http://bankikredyt.nbp.pl/content/2018/06/BIK_06_2018_03.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

IFRS 9 in credit risk modelling

Original language description

Analysing model documentation for 17 AIRB and FIRB credit risk models, this paper delivers IFRS 9 gap analysis of the existing models used for capital adequacy requirements. Based on the review of the IFRS 9 regulatory framework, the paper assumes that the use of the existing models may cause IFRS 9-related compliance gaps that render the existing models inadequate for the provisioning of expected losses. Recognising the potential IFRS 9 gaps, the paper addresses the question whether there is synergy between the AIRB and FIRB modelling approaches and the IFRS 9 rules. To this end, the paper confirms that the existing credit risk models cannot be re-used for IFRS 9 in their current forms.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50206 - Finance

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Bank i Kredyt

ISSN

0137-5520

e-ISSN

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Volume of the periodical

49

Issue of the periodical within the volume

6

Country of publishing house

PL - POLAND

Number of pages

32

Pages from-to

639-670

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85060689096