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| Reference | Title | Link |
| Abad, J. and Suarez, J. (2016) | A recursive model for the assessment of the cyclical implications of IFRS 9 | |
Abstract
"The key innovation of IFRS 9 is the shift in the measurement of credit impairment losses from an incurred loss approach to an expected loss approach. Under IFRS 9 impairment allowances must equal the discounted expected one-year-ahead losses when exposures have not suffered a significant deterioration of credit quality and the discounted expected life-time losses otherwise. The model described in this paper contains the minimal ingredients needed to assess the impact of different impairment measurement approaches on the average levels and dynamics of the allowances associated with a given loan portfolio. Its application to a portfolio of European corporate loans suggests that IFRS 9 will make banks’ P&L and CET1 significantly more procyclical." |
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