Matches in SemOpenAlex for { <https://semopenalex.org/work/W3131979925> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W3131979925 abstract "The estimation of portfolio expected credit loss is required for International Financial Reporting Standard 9 (IFRS9) regulatory purposes. This starts with the estimation of scenario loss at loan level, which is then aggregated and summed up by scenario probability weights to obtain the portfolio expected loss. This estimated loss can vary significantly depending on the levels of loss severity generated by the IFSR9 models and the probability weights chosen. There is a need for a quantitative approach to determine the weights of scenario losses. In this paper, we propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitativeapproach to determine the scenario weights. The model and approach are validated by an empirical example, where we stress the portfolio expected loss using recession risk and calculate the scenario weights accordingly." @default.
- W3131979925 created "2021-03-01" @default.
- W3131979925 creator A5013438405 @default.
- W3131979925 creator A5014039870 @default.
- W3131979925 creator A5076304659 @default.
- W3131979925 creator A5086391732 @default.
- W3131979925 creator A5090343850 @default.
- W3131979925 date "2018-05-25" @default.
- W3131979925 modified "2023-09-23" @default.
- W3131979925 title "International Financial Reporting Standard 9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses" @default.
- W3131979925 hasPublicationYear "2018" @default.
- W3131979925 type Work @default.
- W3131979925 sameAs 3131979925 @default.
- W3131979925 citedByCount "0" @default.
- W3131979925 crossrefType "posted-content" @default.
- W3131979925 hasAuthorship W3131979925A5013438405 @default.
- W3131979925 hasAuthorship W3131979925A5014039870 @default.
- W3131979925 hasAuthorship W3131979925A5076304659 @default.
- W3131979925 hasAuthorship W3131979925A5086391732 @default.
- W3131979925 hasAuthorship W3131979925A5090343850 @default.
- W3131979925 hasConcept C10138342 @default.
- W3131979925 hasConcept C126838900 @default.
- W3131979925 hasConcept C133930124 @default.
- W3131979925 hasConcept C149782125 @default.
- W3131979925 hasConcept C162118730 @default.
- W3131979925 hasConcept C162324750 @default.
- W3131979925 hasConcept C165556158 @default.
- W3131979925 hasConcept C175444787 @default.
- W3131979925 hasConcept C178350159 @default.
- W3131979925 hasConcept C183115368 @default.
- W3131979925 hasConcept C187736073 @default.
- W3131979925 hasConcept C195742910 @default.
- W3131979925 hasConcept C202655437 @default.
- W3131979925 hasConcept C2777764128 @default.
- W3131979925 hasConcept C2779806880 @default.
- W3131979925 hasConcept C2780821815 @default.
- W3131979925 hasConcept C2864544 @default.
- W3131979925 hasConcept C29122968 @default.
- W3131979925 hasConcept C41008148 @default.
- W3131979925 hasConcept C71924100 @default.
- W3131979925 hasConcept C96250715 @default.
- W3131979925 hasConceptScore W3131979925C10138342 @default.
- W3131979925 hasConceptScore W3131979925C126838900 @default.
- W3131979925 hasConceptScore W3131979925C133930124 @default.
- W3131979925 hasConceptScore W3131979925C149782125 @default.
- W3131979925 hasConceptScore W3131979925C162118730 @default.
- W3131979925 hasConceptScore W3131979925C162324750 @default.
- W3131979925 hasConceptScore W3131979925C165556158 @default.
- W3131979925 hasConceptScore W3131979925C175444787 @default.
- W3131979925 hasConceptScore W3131979925C178350159 @default.
- W3131979925 hasConceptScore W3131979925C183115368 @default.
- W3131979925 hasConceptScore W3131979925C187736073 @default.
- W3131979925 hasConceptScore W3131979925C195742910 @default.
- W3131979925 hasConceptScore W3131979925C202655437 @default.
- W3131979925 hasConceptScore W3131979925C2777764128 @default.
- W3131979925 hasConceptScore W3131979925C2779806880 @default.
- W3131979925 hasConceptScore W3131979925C2780821815 @default.
- W3131979925 hasConceptScore W3131979925C2864544 @default.
- W3131979925 hasConceptScore W3131979925C29122968 @default.
- W3131979925 hasConceptScore W3131979925C41008148 @default.
- W3131979925 hasConceptScore W3131979925C71924100 @default.
- W3131979925 hasConceptScore W3131979925C96250715 @default.
- W3131979925 hasLocation W31319799251 @default.
- W3131979925 hasOpenAccess W3131979925 @default.
- W3131979925 hasPrimaryLocation W31319799251 @default.
- W3131979925 hasRelatedWork W1917324476 @default.
- W3131979925 hasRelatedWork W2068146909 @default.
- W3131979925 hasRelatedWork W2113189416 @default.
- W3131979925 hasRelatedWork W2165716816 @default.
- W3131979925 hasRelatedWork W2254219799 @default.
- W3131979925 hasRelatedWork W2488726740 @default.
- W3131979925 hasRelatedWork W2586931296 @default.
- W3131979925 hasRelatedWork W2730479596 @default.
- W3131979925 hasRelatedWork W2752265374 @default.
- W3131979925 hasRelatedWork W2885181840 @default.
- W3131979925 hasRelatedWork W2902154109 @default.
- W3131979925 hasRelatedWork W2992063619 @default.
- W3131979925 hasRelatedWork W3107137217 @default.
- W3131979925 hasRelatedWork W3125849334 @default.
- W3131979925 hasRelatedWork W3144018242 @default.
- W3131979925 hasRelatedWork W3144861063 @default.
- W3131979925 hasRelatedWork W3147082847 @default.
- W3131979925 hasRelatedWork W35183844 @default.
- W3131979925 hasRelatedWork W194292038 @default.
- W3131979925 hasRelatedWork W3125684205 @default.
- W3131979925 isParatext "false" @default.
- W3131979925 isRetracted "false" @default.
- W3131979925 magId "3131979925" @default.
- W3131979925 workType "article" @default.