tailieunhanh - An analysis of the impact of modeling assumptions in the current expected credit loss (CECL) framework on the provisioning for credit loss

The CECL revised accounting standard for credit loss provisioning is intended to represent a forward-looking and proactive methodology that is conditioned on expectations of the economic cycle. In this study we analyze the impact of several modeling assumptions - such as the methodology for projecting expected paths of macroeconomic variables, incorporation of bank-specific variables or the choice of macroeconomic variables – upon characteristics of loan loss provisions, such as the degree of pro-cyclicality. We investigate a modeling framework that we believe to be very close to those being contemplated by institutions, which projects various financial statement line items, for an aggregated “average” bank using FDIC Call Report data. We assess the accuracy of 14 alternative CECL modeling approaches. A key finding is that assuming that we are at the end of an economic expansion, there is evidence that provisions under CECL will generally be no less procyclical compared to the current incurred loss standard. While all the loss prediction specifications perform similarly and well by industry standards in-sample, out of sample all models perform poorly in terms of model fit, and also exhibit extreme underprediction. Among all scenario generation models, we find the regime switching scenario generation model to perform best across most model performance metrics, which is consistent with the industry prevalent approaches of giving some weight to scenarios that are somewhat adverse. | An analysis of the impact of modeling assumptions in the current expected credit loss CECL framework on the provisioning for credit loss

• Ngân hàng - Tín dụng
• Accounting rule change
• Current expected credit loss
• Allowance for loan and lease losses
• Credit provisions
• Credit risk
• Financial crisis
• Model risk
• Credit risk analysis
• Reflections on the use of the logit model
• The logit model
• Logit model
• Markov chain model
• Mover stayer model
• Extended Markov chain model
• Credit risk of bank loans
• FRAX and GARVAN model
• The risk factors of fracture
• Relation between fracture and osteoporosis
• The risk of femoral fracture
• Fracture risk by FRAX and GARVAN models
• Credit risk management
• Financial risk components
• Portfolio models for credit risk
• Portfolio model formulations
• Loan loss distribution
• Portfolio loss distribution
• Stochastic claims reserving
• Collective risk model
• Structure variables
• Bayesian approach
• Reserve risk
• Financial risk management
• Institutional background
• Operational risk
• Financial disasters
• The systemic disaster
• Managing financial risk
• Decision model
• Profit maximization
• Resource allocation
• Risk programming model
• Farm’s risk return frontier
• stochastic models for claims reserve
• capital requirement for reserve risk
• average cost methods
• Solvency II
• BMC Cancer
• Colorectal cancer
• Bone metastasis
• Risk model
• Risk factors
• The surveillance
• Model uncertainty
• Parameter uncertainty
• Estimation errors
• Model risk
• Internal governance
• Internal capital adequacy
• Risk capital
• BMC Anesthesiology
• Re siting
• Predictive model
• Clinical risk factor model
• Epidural catheter re siting
• Identify factors
• Machine learning
• Statistical risk models
• Cluster number
• Risk factor
• Factor loadings
• Principal component
• Absolute risk
• Risk prediction
• Logistic model
• Risk assessment
• VaR identifying model
• VN Index ROR
• Basel criteria
• Price fluctuation band
• Market risk
• Glioblastoma multiforme
• Risk signature
• Mitophagy related risk model
• Non linear capital asset pricing model
• Non marketable risk of investors
• Vector auto regression
• Systematic and unsystematic risk
• Capital asset pricing model
• LIBOR Market Model
• Lattice model
• Tree model
• Shifted forward measure
• Drift approximation
• Risk management
• Internal Transfer Rates
• risk positions
• Simulation Models
• The Repricing Gap Model
• Cash Flow Mapping
• The Duration Gap Model
• Managerial finance
• Lecture Managerial finance
• Financial statements
• Basic return concepts
• Basic risk concepts
• Noise trader risk
• Vietnam’s stock market
• Behavioral capital asset pricing model
• Kurtosis coefficient
• BMC Pediatrics
• Infant mortality
• Survival analysis
• Marginal risk set model
• Sub Saharan Africa
• Stress testing
• Vector autoregression
• Markov switching model
• Scenario generation
• CAPM model
• Risk free rate
• Risk premium
• Logistic regression
• Volatility index
• Data collection method
• Banking system of Iran
• Credit risk model
• Multi criteria decision making models
• Customers’ financial data