Share these talks and lectures with your colleagues
Invite colleaguesPractice paper
CECL and IFRS9 expected credit loss estimation in uncertain economic environments
Journal of Risk Management in Financial Institutions,
14
(4),
367-380
(2021)
Abstract
This paper introduces a multiple-scenario expected credit loss framework for capturing uncertainty in economic environments. The framework leverages default likelihood and severity information and their relation to economic activity and provides a more robust approach to the estimation of portfolio losses during periods of significant market uncertainty.
Keywords: expected credit loss (ECL); CECL; IFRS9; economic uncertainty; credit reserves
The full article is available to subscribers to the journal.
Author's Biography
Jorge R. Sobehart is a managing director, Head of Citi’s Credit and Obligor Risk Analytics, where he currently manages analytics for wholesale risk rating models and processes, stress testing, the Comprehensive Capital Analysis and Review (CCAR), the Internal Capital Adequacy and Assessment Process (ICAAP), the International Financial Reporting Standard 9 (IFRS9) and current expected credit loss (CECL) reserves, and loss likelihood and loss severity approaches for wholesale and retail risk-weighted asset (RWA). Previously, he designed and developed frameworks for wholesale credit risk capital, CCAR, stress testing, CECL, IFRS9 and various credit risk approaches. During his career, he has published numerous technical papers and acted as reviewer in risk management, finance, physics, computation and mathematical modelling.
Citation
Sobehart, Jorge R. (2021, September 1). CECL and IFRS9 expected credit loss estimation in uncertain economic environments. In the Journal of Risk Management in Financial Institutions, Volume 14, Issue 4. https://doi.org/10.69554/TLEU6097.
© Henry Stewart
Publications LLP
Publications LLP