Validation nightmare: the slotting approach under International Financial Reporting Standard 9

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00122805" target="_blank" >RIV/00216224:14560/21:00122805 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.risk.net/journal-of-risk-model-validation/7871991/validation-nightmare-the-slotting-approach-under-international-financial-reporting-standard-9" target="_blank" >https://www.risk.net/journal-of-risk-model-validation/7871991/validation-nightmare-the-slotting-approach-under-international-financial-reporting-standard-9</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.21314/JRMV.2021.003" target="_blank" >10.21314/JRMV.2021.003</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Validation nightmare: the slotting approach under International Financial Reporting Standard 9

Popis výsledku v původním jazyce

This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework. The paper introduces the concept of mapping the probability of default estimates to the slotting scores. A sequential process for deriving the correspondence between the slotting scores and probabilities of default of a particular obligor is proposed as a solution to adapting the slotting approach to the IFRS 9 rules. This solution is especially useful for capturing the increase in credit risk under the IFRS 9 rules using denotching and staging processes. All in all, this paper addresses the research questions of whether and how a slotting model can be used for IFRS 9 compliance purposes. In addition to the core aim of the paper, which is the provision of a probability of default mapping solution under the IFRS 9 framework, we also explain the methodology of a slotting model, discussing specific modeling choices for the real estate slotting approach aligned to the relevant regulatory framework. In doing so, we provide an example of a slotting model that can be used by practitioners as a challenger model during the validation exercise.

Název v anglickém jazyce

Validation nightmare: the slotting approach under International Financial Reporting Standard 9

Popis výsledku anglicky

This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework. The paper introduces the concept of mapping the probability of default estimates to the slotting scores. A sequential process for deriving the correspondence between the slotting scores and probabilities of default of a particular obligor is proposed as a solution to adapting the slotting approach to the IFRS 9 rules. This solution is especially useful for capturing the increase in credit risk under the IFRS 9 rules using denotching and staging processes. All in all, this paper addresses the research questions of whether and how a slotting model can be used for IFRS 9 compliance purposes. In addition to the core aim of the paper, which is the provision of a probability of default mapping solution under the IFRS 9 framework, we also explain the methodology of a slotting model, discussing specific modeling choices for the real estate slotting approach aligned to the relevant regulatory framework. In doing so, we provide an example of a slotting model that can be used by practitioners as a challenger model during the validation exercise.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Journal of Risk Model Validation

ISSN

1753-9579

e-ISSN

1753-9587

Svazek periodika

15

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

38

Strana od-do

63-100

Kód UT WoS článku

000710932000005

EID výsledku v databázi Scopus

2-s2.0-85126704923