MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02258nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20241009132330.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
241009b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
17528887 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HD61.J687 JOU |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Chawla, Gaurav |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Point-in-time loss-given default rates and exposures at default models for IFRS 9/CECL and stress testing/ |
| Statement of responsibility, etc. |
created by Gaurav Chawla, Lawrence R. Forest and Scott D. Aguais |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
London : |
| Name of producer, publisher, distributor, manufacturer |
Henry Stewart Publication, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2016. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Journal of risk management in financial institutions |
| Volume/sequential designation |
Volume 9, number 3 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
In contrast with Basel II rules, which call for the use of through-the-cycle (TTC) probabilities of default (PDs) and downturn (DT) loss-given default rates (LGDs) and exposures at default (EADs), the regulatory stress tests and the new IFRS 9 and proposed Current Expected Credit Loss (CECL) accounting standards require institutions to use point-in-time (PIT) projections of PDs, LGDs and EADs. By accounting for the current state of the credit cycle, PIT measures track closely the variations in default and loss rates over time. In past publications the authors have described the derivation of industry-region credit-cycle indices (CCIs) and the use of those indices in converting legacy wholesale credit PD models, which typically understate cyclical variations, into fully PIT ones. This paper extends that framework to cover estimation of PIT LGDs and EADs for wholesale exposures. The authors offer options for the formulation of such models and discuss their experience in building PIT LGD and EAD models, and show that, by accounting for the probabilistic evolution over time in industry-region CCIs, one can derive joint, PD, LGD and EAD scenarios for use in the regulatory stress tests or in estimating the term structures of expected credit losses (ECLs) as needed for IFRS 9/CECL. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
IFRS 9/CECL |
| Form subdivision |
Expected credit loss (ECL) |
| General subdivision |
Exposure at default (EAD) |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Forest, Lawrence R. |
| Relator term |
co author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Aguais, Scott D. |
| Relator term |
co author |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |