| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13135 |
| DP13135 The Procyclicality of Expected Credit Loss Provisions | |
| Javier Suarez | |
| 发表日期 | 2018-08-23 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | The Great Recession has pushed accounting standards for banks' loan loss provisioning to shift from an incurred loss approach to an expected credit loss approach. IFRS 9 and the incoming update of US GAAP imply a more timely recognition of credit losses but also greater responsiveness to changes in aggregate conditions, which raises procyclicality concerns. This paper develops and calibrates a recursive ratings-migration model to assess the impact of different provisioning approaches on the cyclicality of banks' profits and regulatory capital. The model is used to analyze the effectiveness of potential policy responses to the procyclicality problem. |
| 主题 | Financial Economics |
| 关键词 | Credit loss allowances Expected credit losses Incurred losses Rating migrations Procyclicality |
| URL | https://cepr.org/publications/dp13135 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541939 |
| 推荐引用方式 GB/T 7714 | Javier Suarez. DP13135 The Procyclicality of Expected Credit Loss Provisions. 2018. |
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