G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14803
DP14803 Switching From Incurred to Expected Loan Loss Provisioning: Early Evidence
Gaizka Ormazabal; Germán López-Espinosa; Yuki Sakasai
发表日期2020-05-24
出版年2020
语种英语
摘要This paper provides early evidence on the effect of global regulation mandating a switch from loan loss provisioning (LLP) based on incurred credit losses (ICL) to LLP based on expected credit losses (ECL). Using a sample of systemically important banks from 74 countries, we find that ECL provisions are more predictive of future bank risk than ICL provisions. To corroborate that the switch to ECL provisioning results in more information to assess bank risk, we analyze the market reaction to disclosures on the first-time impact of the accounting change; we find that a higher impact on loan loss allowances elicits lower stock returns, higher changes in CDS spreads, and higher changes in bid-ask spreads. Critically, these patterns are most pronounced when credit conditions deteriorate. Finally, we also find evidence that, as credit conditions worsen, the rule change induces an increase in provisions and a contraction of credit. Our study contributes to the debate on the effect of the ECL model on procyclicality, an especially pressing issue in the context of the current pandemic.
主题Financial Economics
关键词Expected credit losses Loan loss provision Bank accounting
URLhttps://cepr.org/publications/dp14803
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/543735
推荐引用方式
GB/T 7714
Gaizka Ormazabal,Germán López-Espinosa,Yuki Sakasai. DP14803 Switching From Incurred to Expected Loan Loss Provisioning: Early Evidence. 2020.
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