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Title | PublishedPapers.html |
Description | Vivien BRUNEL’s home Vivien BRUNEL’s home page NEW! Choosing modelling options and transfer criteria for IFRS 9: from theory to practice , RiskMinds conference, Amsterdam, Dec |
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Vivien BRUNEL’s home page NEW! Choosing modelling options and transfer criteria for IFRS 9: from theory to practice , RiskMinds conference, Amsterdam, Dec. 2015 Sizing the Stage 2 portfolios for IFRS 9 provisions Submited to Risk (Nov. 2015) IFRS 9 norms require classifying non-defaulted loans into two stages depending on their credit quality evolution since initial recognition by the bank. In this paper, we propose an optimal way to perform this classification. Target values of some key performance indicators of the provisioning model emerge from the implementation of this process. In particular we compute the target value of the stage 2 "Hit Rate" and the size of the stage 2 portfolio. PUBLISHED PAPERS / SUBMITTED PAPERS Operational risk modeled analytically II: the consequences of classification invariance Submited to Risk (Apr. 2015) Most of the banks operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of |
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