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Schutte et al., 2020 - Google Patents

A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss

Schutte et al., 2020

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Document ID
16835717160827954613
Author
Schutte W
Verster T
Doody D
Raubenheimer H
Coetzee P
Publication year
Publication venue
Cogent Economics & Finance

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Snippet

The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The proposed …
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