Search results for "Expected loss"
showing 4 items of 4 documents
Bank Loan Loss Accounting and Its Contracting Effects: The New Expected Loss Models
2019
As a result of the recent financial crisis, several key institutions urged the IASB and the FASB to re-evaluate their models for loan loss accounting and use more forward-looking information. The paper examines the principal features of the new expected loss approach, taking into account the tensions between accounting and prudential objectives with respect to credit losses. We discuss the rationales for the change introduced by IFRS 9 and explore the differences between the IASB and the FASB models. Based on the notions of accounting conservatism and earnings management, we discuss the potential consequences of the new models. While both the FASB and the IASB model are more conservative th…
Bank Loan Loss Accounting: Research Implications for the Post-Crisis Debate
2016
The IASB and the FASB have recently re-evaluated the current model underlying loan loss accounting (the ‘incurred loss’). Taking into consideration the G20‘s advice on using more forward-looking information, they introduce a new approach (the ‘expected loss’ model). This paper reviews the academic literature to shed some light on the new expected loss models when applied to the financial industry. The accounting literature discussed in this study outlines both general theoretical findings and empirical evidence that help to infer the potential impact of the new models. Given the link between loan loss impairment and accounting conservatism as well as earnings management, we explore these co…
Using Wavelet Techniques to Approximate the Subjacent Risk of Death
2018
In Actuarial science, graduation techniques have been used extensively: the large number of scientific papers and technical documentation published evidences this fact (see Ayuso M et al. (Estadistica Actuarial Vida. UBe, Barcelona (2007)), Baeza Sampere and Morillas Jurado (Rev. Anales del Instituto de Actuarios Espanoles 135–164 (2011)), London (Graduation: The Revision of Estimates. ACTEX Publications, Connecticut (1985)), Cairns, et al. (Scand Actuar J 2(3):79–113 (2008)) and the references therein). Graduation techniques are defined by Haberman and Renshaw J Inst Actuar 110:135–156 (1983) as a set of principles and techniques for use that are used on raw data so that a more appropriate…
Intrinsic credible regions: An objective Bayesian approach to interval estimation
2005
This paper definesintrinsic credible regions, a method to produce objective Bayesian credible regions which only depends on the assumed model and the available data.Lowest posterior loss (LPL) regions are defined as Bayesian credible regions which contain values of minimum posterior expected loss: they depend both on the loss function and on the prior specification. An invariant, information-theory based loss function, theintrinsic discrepancy is argued to be appropriate for scientific communication. Intrinsic credible regions are the lowest posterior loss regions with respect to the intrinsic discrepancy loss and the appropriate reference prior. The proposed procedure is completely general…