Recap regulatory and accounting context:
IFRS 9 – Stage 2 – Key Highlights on the ECL measurement
BCBS principles for Expected Credit Loss
Key modelling issues with Basel models
1-year expected loss
Significant risk increase
Lifetime expected loss
Insights into the impacts of this model based approach:
Financials (capital, profitability…)
Non-Financials (data, governance…)
Tips & tricks to leverage Basel models
Published on: June 2015
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