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Dissertations / Theses on the topic 'Expected Credit Loss'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Malwandla, Musa. "Loss distributions in consumer credit risk : macroeconomic models for expected and unexpected loss." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20414.

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This thesis focuses on modelling the distributions of loss in consumer credit arrangements, both at an individual level and at a portfolio level, and how these might be influenced by loan-specific factors and economic factors. The thesis primarily aims to examine how these factors can be incorporated into a credit risk model through logistic regression models and threshold regression models. Considering the fact that the specification of a credit risk model is influenced by its purpose, the thesis considers the IFRS 7 and IFRS 9 accounting requirements for impairment disclosure as well as Bas

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2

Starlander, Isak. "Counterparty Credit Risk on the Blockchain." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215493.

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Counterparty credit risk is present in trades offinancial obligations. This master thesis investigates the up and comingtechnology blockchain and how it could be used to mitigate counterparty creditrisk. The study intends to cover essentials of the mathematical model expectedloss, along with an introduction to the blockchain technology. After modellinga simple smart contract and using historical financial data, it was evidentthat there is a possible opportunity to reduce counterparty credit risk withthe use of blockchain. From the market study of this thesis, it is obvious thatthe current fina

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Krüger, Steffen Verfasser], and Daniel [Akademischer Betreuer] [Rösch. "Advanced Dependency Modeling in Credit Risk - Lessons for Loss Given Default, Lifetime Expected Loss and Bank Capital Requirements / Steffen Krüger ; Betreuer: Daniel Rösch." Regensburg : Universitätsbibliothek Regensburg, 2017. http://d-nb.info/1139892398/34.

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Fjellstedt, Hanna, and Daniel Fischer. "IFRS 9 Finansiella instrument : Vilken effekt den nya regleringen har på svenska banker efter införandet." Thesis, Högskolan Dalarna, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:du-30762.

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Bakgrund: En ny reglering har införts den 1 januari 2018, vilket är IFRS 9 finansiella instrument som ersätter IAS 39. Värdering och redovisning förändras från en objektiv till en subjektiv bedömning av kreditförluster. Syfte: Syftet med studien är att undersöka vilken effekt IFRS 9 har på svenska banker efter införandet. Studien undersöker även om effekten varierar beroende av bankers storlek. Metod: För att uppnå studiens syfte har en kvantitativ studie med deduktiv ansats tillämpats. Sekundärdata har inhämtats ur bankernas årsredovisningar för 2018 från respektive hemsida. Banker som ingår

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5

Jacobson, Josefin, and Maja Wramberg. "IFRS 9 och dess påverkan på bankers finansiella ställning : En kvantitativ studie om redovisningsstandardens påverkan på noterade banker inom EU." Thesis, Södertörns högskola, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-44500.

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Bakgrund och problemformulering: Den 1 januari 2018 infördesredovisningsstandarden IFRS 9 för finansiella instrument, vilken ersätter den tidigare kontroversiella standarden IAS 39. Den nya standarden innehåller bland annat en kreditförlustmodell som innebär att inte bara inträffade utan även förväntadek reditförluster ska redovisas, vilket skiljer sig från den tidigare kreditförlustmodellen där endast konstaterade förluster redovisades. Banker ansågs vara den typ av företagsom skulle komma att bli särskilt påverkade av den nya kreditförlustmodellen som IFRS 9 innebär. Bortsett från redovisnin

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Klefvenberg, Louise, and Viktoria Nordlander. "IFRS 9 replacing IAS 39 : A study about how the implementation of the Expected Credit Loss Model in IFRS 9 i beleived to impact comparability in accounting." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-260320.

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This thesis examines how the implementation process of Expected Credit Loss Model in the accounting standard IFRS 9 – Financial instruments is perceived and interpreted and how these factors can affect comparability in accounting. One of the main changes with IFRS 9 is that companies need to account for expected credit losses rather than just incurred ones. The data is primarily collected through a web survey where all of Nordic banks and credit institutes with a minimum book value of total assets of euro 1 billion, are invited to participate. The presentation of the collected data from the we

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Lopes, Maria Leonor Grossinho Fontinha Jacinto. "Loss given default : a backtesting exercise." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/18107.

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Mestrado em Mathematical Finance<br>After January 2018, the new accounting standard IFRS 9 Financial Instruments was mandatory practice for all Financial Institutions. Introducing the new impairment model, which focus on expected credit losses (ECL) instead of incurred losses established previous in IAS 39 Measurement and Recognition. According to the new standard, the risk parameters involved in the computation of the ECL are required to be periodically revised. The Loss Given Default (LGD) is a risk input which represents the loss in case of a financial instrument defaults. Hence, the aim

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Eriksson, Neil, and Niklas Rådström. "The implications of IFRS 9 – for Equity Analysts." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-389363.

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The financial crisis of 2008 highlighted problems with the accounting standard IAS 39, with claims of high complexity, introduction of procyclicality in the financial statements and a proposed role of contributing to the financial crisis. The International Accounting Standard Board issued the predecessor, IFRS 9, which became effective on January 1st, 2018. IFRS 9 introduces a forward-looking Expected Credit Loss model, which significantly change the accounting of loss provisions. With the objective to provide high accounting quality, the International Accounting Standard Board and Financial A

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9

Pazzoto, Bruno Bortoluzzo. "Modelagem da perda esperada: uma alternativa para tratar o efeito da correlação entre a PD e LGD." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/10073.

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Submitted by Bruno Bortoluzzo Pazzoto (brunopazzoto@hotmail.com) on 2012-10-01T13:52:54Z No. of bitstreams: 1 dissertacao bruno pazzoto - versão final.pdf: 1116879 bytes, checksum: 97b2413340bda7342a4871944c193ff1 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2012-10-01T14:37:42Z (GMT) No. of bitstreams: 1 dissertacao bruno pazzoto - versão final.pdf: 1116879 bytes, checksum: 97b2413340bda7342a4871944c193ff1 (MD5)<br>Made available in DSpace on 2012-10-01T15:10:54Z (GMT). No. of bitstreams: 1 dissertacao bruno pazzoto - versão final.pdf:

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Pereira, Bernardo Vieira Gonçalves. "Estudo sobre evolução do balanço de um banco em situação de stress económico : modelo macroeconómico de PD." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19770.

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Mestrado em Econometria Aplicada e Previsão<br>Este relatório de estágio enquadra-se no âmbito do Trabalho Final de Mestrado para o Mestrado de Econometria Aplicada e Previsão do Instituto Superior de Economia e Gestão (ISEG). O estágio decorreu na Deloitte Consultores, S.A., num dos escritórios de Lisboa, com o intuito de me preparar para a realidade do mercado de trabalho através de um processo de integração na empresa durante a realização das atividades propostas. Neste relatório pretende-se expor um retrato daquilo que foram os meus primeiros seis meses de trabalho na Deloitte, através d

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Peco, Amina. "Misskötta studielån : Hur mycket förväntas de kosta?" Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-59675.

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När propositionen för ett reformerat studiestödssystem lades 1999 poängterades det att studiestödssystemet skulle bära sina egna kostnader. Trots det skrivs stora belopp av. Både Riksrevisionen och Riksgälden har visat att CSN inte använder vedertagna metoder vid beräkningen av det som förväntas gå förlorat på grund av misskötta betalningar. Uppsatsens syfte har varit att skatta vad misskötta betalningar väntas kosta staten i form av framtida avskrivningar samt beräkna vad det skulle innebära för individen att istället bära kostnaden. Som en del i det arbetet har även faktorer som påverkar san

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Cardoso, Thiago de Freitas. "Modelagem da perda esperada com operações de crédito: uma aplicação dos modelos da classe GAMLSS." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11500.

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Submitted by Thiago de Freitas Cardoso (thiago.freitas.cardoso@gmail.com) on 2014-02-27T01:33:19Z No. of bitstreams: 1 Dissertação V2.3.pdf: 8043122 bytes, checksum: af3c70ed549fef3e566045da69276b07 (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-27T11:48:57Z (GMT) No. of bitstreams: 1 Dissertação V2.3.pdf: 8043122 bytes, checksum: af3c70ed549fef3e566045da69276b07 (MD5)<br>Made available in DSpace on 2014-02-27T12:32:27Z (GMT). No. of bitstreams: 1 Dissertação V2.3.pdf: 8043122 bytes, checksum: af3c70ed549fef3e566045da69276b07 (MD

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Veríssimo, Alexandra Martins. "O impacto da adoção da IFRS 9 no reconhecimento das perdas de crédito nos bancos europeus." Master's thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/23426.

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Mestrado Bolonha em Contabilidade, Fiscalidade e Finanças Empresariais<br>This study aims to analyze the change in the accounting model for loan losses in the income smoothing practices of a sample of European Union banking institutions, providing the first evidence of the new IFRS 9 accounting standard. The sample includes 68 banks from 16 European Union countries for the period of 2015 to 2020. By implementing a modified version of a model used by Ahmed et al. (1999) and Gebhardt & Novotny-Farkas (2011), this study finds that bank managers engaged in income smoothing through loan loss provis

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14

Dhima, Julien. "Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe." Thesis, Paris 1, 2019. http://www.theses.fr/2019PA01E042/document.

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Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’

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15

Wei, Chiu Chi, and 邱繼緯. "Credit Risk Rating of KMV Model Adjusted for Expected Loss." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/85431882573063265141.

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碩士<br>輔仁大學<br>金融研究所<br>94<br>This thesis is based on Moody’s KMV model. To calculate the volatility of stock returns, we use the exponential weighted moving average model（EWMA）to capture the dynamic feature of volatility with the latest observation carrying the highest weight. In practical applications, we find a major problem with respect to the KMV model. We should incorporate the expected operating results of companies in the KMV model, in particular, the downside risk. In theory, the most critical assumption of the Black-Scholes model is that it is applied to options in the financial ma

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16

"valuation of credit-linked notes and the expected loss of residential mortgage loans." 2004. http://library.cuhk.edu.hk/record=b5892232.

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Man Po Kong = 信貸相聯票據和住宅按揭的預期損失之估值 / 文普綱.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 85-86).<br>Text in English; abstracts in English and Chinese.<br>Man Po Kong = Xin dai xiang lian piao ju he zhu zhai an jie de yu qi sun shi zhi gu zhi / Wen Pugang.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- The Structural model --- p.3<br>Chapter 2.1 --- Merton's model --- p.3<br>Chapter 2.2 --- The term structure of interest rate --- p.7<br>Chapter 2.3 --- The default-triggering mechanism and derivations from strict priority rul

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17

Perica, Ana. "Expected credit losses for retail banking sector at hipotekarna bank AD." Master's thesis, 2019. http://hdl.handle.net/10362/105861.

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The IFRS9 accounting regulation requires banks to recognise credit risks and set aside losses provisions at initial loan recognition. The standard instructs the categorisation of financial instruments according to the business model, accounting classification, and impairment method. Nevertheless, the IFRS9 standard does not provide specific models for the Expected Credit Losses calculation; instead, each bank needs to develop and justify their approach. This paper focuses on the case of Hipotekarna Bank AD, and it follows the process of retail loans from the initial recognition to the calculat

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Hsu, Mei-Yen, and 徐美燕. "The Comparison between IFRS 9 Impairment Model and Basel-IRB Expected Credit Loss Model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/13604438975749571223.

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碩士<br>國立臺北大學<br>會計學系<br>103<br>The International Accounting Standards Board (IASB) has pronounced IFRS 9 Financial Instruments on July 24, 2014. IFRSv9 has three sections: classification and measurement; impairment; and hedge accounting. Among them, the impairment has adopted the expected loss model from the incurred loss model of IAS 39. As the expected loss model involves projections of future economic cycles, the estimation of impairment becomes complicated and affects finance industry tremendously. Thus, further investigation from the industry, supervising authorities and academia is w

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Lin, Wei Chi, and 林維琪. "The impact of IFRS 9 on accounting, business processes and systems of banks: The expected credit loss model." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/88tm59.

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碩士<br>國立政治大學<br>經營管理碩士學程(EMBA)<br>104<br>IFRS 9 “Financial Instruments” will be effective from 1 January 2018. Hence, the regulators and banks are under pressure to apply it, are concerned about its impact and effects, and, as a result, must start coming up with relevant and effective action plans. Many banks have not yet commenced the training, planning and implementation processes for adoption of IFRS 9. For those that have, the progress is slow because they do not have a full understanding of the processes required for the implementation of IFRS 9, nor its profit and loss impact. Ad

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CHEN, YING-JU, and 陳瀅如. "IFRS 9 and Expected Credit Loss of Bond Investment: A Simulation Study of Life Insurance Industry in Taiwan." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/3x9rza.

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碩士<br>國立臺北大學<br>國際財務金融碩士在職專班<br>105<br>The IASB completes version of IFRS 9 on expected credit losses model and would be effective on 1 January 2018. IFRS 9 uses more forward-looking information to measure expected credit losses for all debt-type financial assets. The IASB proposed expected credit loss impairment model that is based on 12-month and lifetime expected credit losses (ECL). IFRS 9 provide guidance on ‘default’ and use ECL to be estimated over the lifetime for credit assets. If financial assets have low credit risk, uses 12-month expected credit losses are classified in stage 1. Wh

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Chuang, Yi-Ching, and 莊翌靖. "On the Study for Taiwan’s Counter-Cyclical Capital Buffer-using Credit-to-GDP gap coupled with Expected Loss of Domestic Banks." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/gt343r.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>102<br>This thesis focuses on the research of macroprudential supervision tool which is the mechanism of countercyclical capital buffer in Basel III. First of all, we use Credit-to-GDP gap as the main indicator which is based on BCBS (2010) Guidance for national authorities operating the countercyclical capital buffer, and adopt Chau-jung ,Kuo (2013) AR(1) model to estimate through-the-cycle non-performance rate. Then, we can calculate expected loss of domestic bank which is subsidiary indicator. If expected loss of domestic banks increases, it signal the crisis. W

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Hsieh, Wan-Chun, and 謝婉君. "A Study on the Impact of IFRS 9 on Financial Risks – Assessing the Possible Impairment of Financial Assetswith Expected Credit Loss Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/hm7537.

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碩士<br>國立中山大學<br>高階經營碩士班<br>106<br>International Financial Reporting Standard 9 (IFRS 9) will be implemented January 1, 2018. Due to its approaching, the competent authorities and Financial institutions concernover the potential impacts and commence to take the appropriate actions. Most financial institutions are not fully aware of the influences to be ocurred after IFRS9 Implementation. They either have not yet commenced to execute the required actions, the related system construction planning and employee training for the IFRS 9 introduction or the progress of these actions are very slow. It

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Ribeiro, Gabriela Sofia da Silva. "O impacto das alterações à IFRS 9 no setor bancário." Master's thesis, 2020. http://hdl.handle.net/10400.14/31957.

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A crise financeira internacional alertou para alguns problemas na mensuração dos instrumentos financeiros, nomeadamente no reconhecimento de perdas por aumento do risco de crédito, o que contribuiu para a descredibilização do sistema bancário. Atento a este contexto, o IASB, organismo responsável pela emissão de normas de contabilidade que estão na base das normas em vigor na União Europeia, publicou em julho de 2014 a norma contabilística aplicável a instrumentos financeiros, a IFRS 9, que substituiu a anterior IAS 39, com o objetivo de preencher as lacunas identificadas no anterior normativo

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