• Rupture de stock

Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis [extrait BMI 141]

Author :
50,00 €
TTC
Quantité
Add to wishlist
Rupture de stock

Version numérique PDF

The recent publication of the IFRS 9 norms related to collective provisions for non defaulted instruments has settled a new vision to banking book portfolios. In this paper we show that the IFRS 9 provision measured through the Expected Credit Loss (ECL), inspired from a market vision on loan books, is very similar to the Credit Value Adjustment (CVA) for derivative exposures. However, even if the underlying formulas are identical, the metrics and parameters are not the same. Hence, though ECL and CVA measure similar effects, they involve different modeling challenges.Keywords: Expected Credit Loss (ECL); IFRS 9; Credit Value Adjustment (CVA); Counterparty Risk.JEL Codes: G13; G21; G22; G23; G24

Auteurs :Brunel Vivien
Extrait de la revue BMI 141

BMI141-1126583
Nouveau

16 autres produits dans la même catégorie :

Bankers, Markets &...
Aperçu rapide
  • Rupture de stock

Bankers, Markets & Investors n° 141 –...

150,00 €
Availability: Out of stock
Risk-Based and Factor Investing
  • Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis
  • Analyst Earnings Forecasts, Individual Investors’ Expectations and Trading Volume
  • Changing Dynamic Relationships between Stock and Bond Markets in Crises
  • Do Regulatory and Supervisory Reforms Affect European Bank Stability
This website uses cookies to ensure you get the best experience on our website