The Effects of IFRS 9 Valuation Model on Cost of Risk in Commercial Banks - the Impact of COVID-19

• Autorzy: Emil Ślązak , Magdalena Skwarzec
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to analyse the variables determining the cost of risk in banks after the implementation of IFRS 9 with a particular focus on the COVID-19 pandemic in terms of the quality of credit portfolio. To achieve this we propose a panel research model with quarterly variables determining the cost of risk in commercial banks. The research data was taken from the domestic and European banking sector in 2018-2020 during the initial phase of the COVID-19 pandemic. We show that contrary to regulatory assumptions, procyclical tendencies with a cliff effect have not been eliminated in commercial banks under the IFRS 9 framework. In addition, we observe significant differences in the recognition of loan impairment in the domestic banks versus the EU ones under IFRS 9. However, we demonstrate that IFRS 9 did allow banks to recognise loan impairment reasonably fast in the most acute phase of the COVID-19 pandemic. (original abstract)

Słowa kluczowe

EN

Commercial banks; Banking risk; Risk estimating; Costs; International Financial Reporting Standard; COVID-19; Pandemic; Credit portfolio; Research results

PL

Banki komercyjne; Ryzyko bankowe; Szacowanie ryzyka; Koszty; Międzynarodowe Standardy Sprawozdawczości Finansowej (MSSF); COVID-19; Pandemia; Portfel kredytowy; Wyniki badań

• Czasopismo: Bank i Kredyt
• Rocznik: 2022
• Numer: nr 1
• Strony: 47--78

Twórcy

autor

Emil Ślązak

• Warsaw School of Economics

autor

Magdalena Skwarzec

• Warsaw School of Economics

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