scholarly journals The Development of Expected-Loss Methods of Accounting for Credit Losses: A Review with Analysis of Comment Letters

2021 ◽  
Author(s):  
Noor Hashim ◽  
Weijia Li ◽  
John O'Hanlon
Keyword(s):  
Financial Crisis ◽  
Expected Loss ◽  
Comment Letters ◽  
Loss Method ◽  
Credit Losses ◽  
Forward Looking

After the financial crisis of the late 2000s, concern about delayed credit-loss recognition under the incurred-loss method prompted the FASB and the IASB to develop expected-loss methods. We review the development of these methods, including through comment-letter analysis. Initially, the FASB recommended immediate full recognition of expected losses, including at day one, and the IASB recommended spreading the recognition of initially-expected losses across time. After unsuccessful attempts to converge based on proposals that partly reflected initial recommendations of each board, the boards eventually adopted different methods. We report that U.S. respondents largely opposed the FASB's final method, which required day-one recognition of all expected losses, and that non-U.S. respondents largely supported the IASB's final method, which required day-one recognition of 12-month expected losses. Day-one loss was controversial and impeded convergence. Our comment-letter analysis suggests that a day-one-loss-free more forward-looking incurred-loss method might provide a route to a more converged solution.

IFRS9 e le sfide di contesto

2021 ◽  
Author(s):  
Giuseppe Torluccio ◽  
◽  
Paolo Palliola ◽  
Paola Brighi ◽  
Lorenzo Dal Maso ◽  
...  
Keyword(s):  
Financial Institutions ◽  
Expected Loss ◽  
Economic Cycle ◽  
Support Measures ◽  
Historical Series ◽  
Risk Parameters ◽  
Credit Portfolio ◽  
The Relationship ◽  
Credit Losses ◽  
Forward Looking

Under IFRS9, Financial Institutions are required to implement impairment frameworks to determine the expected losses on their credit portfolio taking into account the current (so called “point in time”) and the prospective (so called “forward looking”) economic cycle. The Covid-19 pandemic, which began in early 2020, has posed significant challenges for Financial Institutions in their ability to manage credit risk. Despite numerous guidelines given by regulators, estimating IFRS9 expected loss continues to be a considerable challenge. The challenge partly stems from the relationship between macro-economic scenarios and credit losses, the treatment of moratoriums inside the historical series for development and calibration of IFRS9 risk parameters, and the management of support measures defined at National and European levels (e.g. Next Generation EU) for the forward looking estimations.

scholarly journals Inflation expectations after financial crisis: are consumers more forward-looking?

2019 ◽  
Vol 33 (1) ◽  
pp. 1052-1072 ◽  
Author(s):  
Magdalena Szyszko ◽  
Aleksandra Rutkowska ◽  
Agata Kliber
Keyword(s):  
Financial Crisis ◽  
Inflation Expectations ◽  
Forward Looking

scholarly journals Pelatihan Penerapan PSAK 71 (Instrumen Keuangan) pada Perusahaan Daerah Air Minum di Wilayah Sumatera Selatan dan Bangka Belitung

2021 ◽  
Vol 2 (2) ◽  
pp. 97-104
Author(s):  
Tertiarto Wahyudi ◽  
Anisa Listya ◽  
Ubaidillah Ubaidillah ◽  
Ruth Samantha Hamzah ◽  
Nur Khamisah
Keyword(s):  
Expected Loss ◽  
Loss Method

Kegiatan Pengabdian Kepada Masyarakat ini bertujuan untuk memberikan pendampingan kepada bagian pengelolaan piutang usaha Perusahaan Daerah Air Minum di Wilayah Sumatera Selatan dan Bangka Belitung untuk mengestimasi besarnya penyisihan piutang tidak tertagih dengan menggunakan Expected Loss Method. Metode kegiatan ini dengan memberikan penyuluhan dan pendampingan kepada PDAM dalam membuat perhitungan estimasi piutang tak tertagih. Hasil pengabdian masyarakat ini ditandai dengan antusias dan kemampuan peserta dalam menerima materi dan mampu melakukan praktik untuk menghitung penyisihan piutang usaha dan penurunan nilai piutang usaha. Hasil kegiatan ini diharapkan bermanfaat bagi PDAM untuk meningkatkan pengelolaan piutang usaha yang nantinya akan meningkatkan pendapatan PDAM dan Pendapatan Asli Daerah.

CoVaR

2016 ◽  
Vol 106 (7) ◽  
pp. 1705-1741 ◽  
Author(s):  
Tobias Adrian ◽  
Markus K. Brunnermeier
Keyword(s):  
At Risk ◽  
Financial Crisis ◽  
Systemic Risk ◽  
Value At Risk ◽  
Asset Price ◽  
Financial System ◽  
Maturity Mismatch ◽  
Out Of Sample ◽  
Forward Looking

We propose a measure of systemic risk, Δ CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict Δ CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized Δ CoVaR during the 2007–2009 financial crisis. (JEL C58, E32, G01, G12, G17, G20, G32)

What were they thinking? Firms' expectations since the financial crisis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Annalisa Ferrando ◽  
Ioannis Ganoulis ◽  
Carsten Preuss
Keyword(s):  
Financial Crisis ◽  
Business Cycle ◽  
Rational Expectations ◽  
Structural Characteristics ◽  
Direct Impact ◽  
Content Type ◽  
New Information ◽  
Policy Transmission ◽  
The Business Cycle ◽  
Forward Looking

PurposeThis paper explores how firms formed their expectations about the availability of bank finance since the financial crisis. Various expectations hypotheses that incorporate backward and/or forward-looking elements and inattention are tested. From a policy perspective, the most important hypothesis is whether policy announcements have a direct impact on the expectations of companies.Design/methodology/approachThe analysis is based on a large sample of euro area companies from the ECB “Survey on the Access to Finance of Enterprises” between 2009 and 2018. Ordered logit models are used to relate individual replies on expectations to firms' information available at the time of the forecasts. The model controls for the business cycle and firms' structural characteristics. Using a difference-in-differences approach, we test how policy announcements may affect expectations.FindingsFirms update what otherwise look like adaptive expectations on the basis of new information. The hypothesis of rational expectations is rejected. Moreover, we do not find evidence of inattention or of a wave of pessimism/optimism. The analysis of expectations around the time of the ECB Outright Monetary Transactions program provides some evidence of forward-looking expectations.Originality/valueThe paper contributes to the literature on expectations by using a novel survey in eleven countries. In the multi-country setting, country-specific business cycle effects and waves of pessimism or optimism are better controlled for. The policy announcements of summer 2012 provide for a natural experiment to test the direct impact of such announcements on expectations, an issue of relevance for the monetary policy transmission to economic activity.

Sign in / Sign up

Export Citation Format

Share Document