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2018 | nr 6 | 639--670
Tytuł artykułu

IFRS 9 in Credit Risk Modelling

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Analysing model documentation for 17 AIRB and FIRB credit risk models, this paper delivers IFRS 9 gap analysis of the existing models used for capital adequacy requirements. Based on the review of the IFRS 9 regulatory framework, the paper assumes that the use of the existing models may cause IFRS 9-related compliance gaps that render the existing models inadequate for the provisioning of expected losses. Recognising the potential IFRS 9 gaps, the paper addresses the question whether there is synergy between the AIRB and FIRB modelling approaches and the IFRS 9 rules. To this end, the paper confirms that the existing credit risk models cannot be re-used for IFRS 9 in their current forms. (original abstract)
Opis fizyczny
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