A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss

A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss

The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The proposed methodology is described by first pro...

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Bibliographic Details
Main Authors: Willem Daniel Schutte, Tanja Verster, Derek Doody, Helgard Raubenheimer, Peet Jacobus Coetzee
Format: Article
Language:English
Published: Taylor & Francis Group 2020-01-01
Series:Cogent Economics & Finance
Subjects:
ifrs9
expected credit loss
pd
lgd
ead
emerging markets
impairments
Online Access:http://dx.doi.org/10.1080/23322039.2020.1735681

Internet

http://dx.doi.org/10.1080/23322039.2020.1735681

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