You can help us maintain this list up-to-date by submitting additions / corrections (Use info at openrisk eu). Submissions should have a publicly accessible URL (link). Links to vendor originated or sponsored white / research papers are acceptable provided they contain sufficient subject matter information.
NB: This list of IFRS 9 modeling resources is provided as-is without any implied endorsement or validation of the suitability, originality, accuracy or completeness of said resources for any purpose. Open Risk is not affiliated with IASB/FASB.
Publications from Accounting Bodies (IASB, FASB) with a focus on those most relevant for modelling purposes. The agenda items of meetings provide useful background to the final choices adopted in the standards.
NB: This is not a complete list of papers from the IFRS Interpreatations Committee that might impinge on IFRS 9. When in doubt consult the IFRS website
1. Date
|
2. Title
|
3. Authors
|
4. Organization
|
5. URL
|
Dec 2015
|
Incorporation of forward-looking scenarios
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Scope of paragraph 5.5.20 of IFRS 9
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Measurement of expected credit losses for charge cards
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Maximum period to consider when measuring ECL for revolving credit facilities
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Collateral and other credit enhancements and the measurement of ECL
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Inclusion of cash flows expected from the sale on default of a loan in the measurement of ECL
|
IFRS Staff
|
IASB
|
IFRS Site
|
Dec 2015
|
Meaning of current effective interest rate
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Dec 2015
|
Assessing for SICR for short term financial assets
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Dec 2015
|
Measurement of the loss allowance for credit-impaired financial assets
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Dec 2015
|
Presentation of the loss allowance for financial assets measured at amortised cost
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Sep 2015
|
Significant increases in credit risk
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Sep 2015
|
Use of changes in the risk of a default occurring over the next 12 months when assessing for significant increases in credit risk
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Sep 2015
|
Measurement of expected credit losses for revolving credit facilities
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Sep 2015
|
Forward-looking information
|
IFRS Staff
|
IFRS
|
IFRS Site
|
Publications from Legislators and Regulators
1. Date
|
2. Title
|
3. Authors
|
4. Organization
|
5. URL
|
May 2019
|
The cyclicality in SICR: mortgage modelling under IFRS 9 (Working Paper Series No 92)
|
Edward Gaffney, Fergal McCann
|
ESRB
|
ESRB Site
|
Jan 2019
|
From Incurred Loss to Current Expected Credit Loss (CECL): A Forensic Analysis of the Allowance for Loan Losses in Unconditionally Cancelable Credit Card Portfolios
|
José J. Canals-Cerdá
|
Federal Reserve Bank of Philadelphia
|
SSRN
|
Jan 2019
|
Expected credit loss approaches in Europe and the United States: differences from a financial stability perspective
|
ESRB Staff
|
ESRB
|
ESBR Site
|
Feb 2018
|
Instructions for Basel III monitoring
|
BIS Staff
|
BIS
|
BIS Site
|
Jan 2018
|
Guidelines on uniform disclosures under Article 473a of Regulation (EU) No 575/2013 as regards the transitional period for mitigating the impact of the introduction of IFRS 9 on own funds
|
EBA Staff
|
EBA
|
EBA Site
|
Nov 2017
|
Transitional arrangements for mitigating the impact of the introduction of IFRS 9 on own funds
|
EU Council Staff
|
EU Council
|
Council of the European Union
|
Sep 2017
|
Guidelines on disclosure requirements on IFRS 9 transitional arrangements (Public Hearing 7 September 2017)
|
EBA Staff
|
EBA
|
EBA Site
|
Sep 2017
|
Frequently Asked Questions on the New Accounting Standard on Financial Instruments – Credit Losses
|
Intereagency Staff
|
FED/FDIC/NCUA/OCC
|
FDIC Site
|
Jul 2017
|
EBA/CP/2017/11 Consultation Paper on guidelines on uniform disclosure of IFRS 9 transitional arrangements
|
EBA Staff
|
EBA
|
EBA Site
|
Jul 2017
|
EBA Report on results from the second EBA impact assessment of IFRS 9
|
EBA Staff
|
EBA
|
EBA Site
|
Jul 2017
|
Financial stability implications of IFRS 9
|
ESRB Staff
|
ESRB
|
ESRB Site
|
May 2017
|
EBA/GL/2017/06 - Final Report: Guidelines on credit institutions’ credit risk management practices and accounting for ECL
|
EBA Staff
|
EBA
|
EBA Site
|
Mar 2017
|
D401 - Regulatory treatment of accounting provisions - interim approach and transitional arrangements
|
BIS Staff
|
BIS
|
BIS Site
|
Mar 2017
|
EBA/OP/2017/02 - Opinion of EBA on transitional arrangements and credit risk adjustments due to the introduction of IFRS 9
|
EBA Staff
|
EBA
|
EBA Site
|
Mar 2017
|
The new era of expected credit loss provisioning
|
B.H Cohen, G.A Edwards Jr
|
BIS Quarterly Review
|
BIS Site
|
Dec 2016
|
CP46/16 -IFRS 9: changes to reporting requirements
|
BOE Staff
|
BOE
|
BOE Site
|
Nov 2016
|
COMMISSION REGULATION (EU) 2016/2067 (adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 9)
|
European Commission
|
European Commission
|
EUR-Lex Site
|
Nov 2016
|
D385 - Regulatory treatment of accounting provisions
|
BIS Staff
|
BIS
|
BIS Site
|
Oct 2016
|
Report on results from the EBA impact assessment of IFRS 9
|
EBA Staff
|
EBA
|
EBA Site
|
Jul 2016
|
CP/2016/10 - Draft Guidelines on credit institutions’ credit risk management practices and accounting for ECL
|
EBA Staff
|
EBA
|
EBA Site
|
Apr 2016
|
CP17/16 - Regulatory reporting of financial statements, forecast capital data and IFRS 9 requirements
|
BOE Staff
|
BOE
|
BOE Site
|
Dec 2015
|
D350 - Guidance on credit risk and accounting for expected credit losses
|
BIS Staff
|
BIS
|
BIS Site
|
Research Papers
1. Date
|
2. Title
|
3. Authors
|
4. Organization
|
5. URL
|
July 2018
|
Making use of survival analysis to indirectly model loss given default
|
M Joubert, T Verster, H Raubenheimer
|
North-West University, South Africa
|
Orion Journals
|
May 2018
|
CECL Impact Analysis
|
Soner Tunay
|
Accenture
|
SSRN
|
Apr 2018
|
Stage Transfer Effect on Impairment Forecasts
|
Jimmy Skoglund and Wei Chen
|
SAS Institute
|
SSRN
|
Apr 2018
|
A Markov Chain Approximation of Transition Matrices with Applications to Credit Ratings
|
Oliver Blümke
|
Raiffeisen Bank International
|
SSRN
|
Nov 2017
|
GCD Downturn LGD Study 2017
|
Nina Brumma and Philip Winckle
|
Global Credit Data
|
SSRN
|
Nov 2017
|
The Impact of the Current Expected Credit Loss Standard (CECL) on the Timing and Comparability of Reserves
|
Sarah Chae, Robert Sarama, Cindy M. Vojtech and James Wang
|
Board of Governors of the Federal Reserve System
|
SSRN
|
Aug 2017
|
IFRS 9: Probably weighted and biased?
|
A. Marianski
|
Deloitte LLP
|
CRC 2017
|
Aug 2017
|
IFRS 9: Does one model fit all? Lessons from the ashes of the Great Moderation
|
H. Chim
|
Deloitte UK
|
CRC 2017
|
Aug 2017
|
IFRS 9 Survival Analysis with an Application in Apache Spark
|
D Vasilev, H. Vidinova
|
Experian
|
CRC 2017
|
Aug 2017
|
The statistical dilemma: Forecasting future losses for IFRS 9 under a benign economic environment, a trade off between statistical robustness and business need
|
K. Cleary
|
Sabadel
|
CRC 2017
|
Aug 2017
|
Modelling economic scenarios for IFRS 9 impairment calculations
|
K. Church
|
4most (Europe) Ltd
|
CRC 2017
|
Aug 2017
|
Setting Scenarios and Assessing Scenario Probabilities under IFRS 9 Accounting
|
C. Lönnbark
|
University of Umea; Swedbank
|
SSRN
|
Jul 2017
|
Assessing the cyclical implications of IFRS 9 – a recursive model
|
J.Abad, J.Suarez
|
CEMFI, ESRB Advisory Scientific Committee
|
ESRB
|
Jul 2017
|
Sparse Structural Approach for Rating Transitions
|
V. Perederiy
|
Postbank / Deutsche Bank Group
|
Arxiv.org
|
Jul 2017
|
Constructing the PD term Structure
|
P.Gerhold, A.Kleppe, M.Seifert, D.Thakkar
|
d-fine, Global Credit Data
|
SSRN
|
May 2017
|
The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast
|
T.Vaněk, D.Hampel
|
Mendel University
|
ACTAUN Journal
|
May 2017
|
Testing for Convexity Relevance: An IFRS 9 Benchmark Cashflow Test Proposal
|
L. Cefis
|
Intesa SanPaolo SpA
|
SSRN
|
Jan 2017
|
Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing
|
B.H.Yang
|
Royal Bank of Canada
|
MPRA
|
Oct 2016
|
Lifetime PD Analytics for Credit Portfolios: A Survey
|
V.Brunel
|
Société Générale
|
SSRN
|
Oct 2016
|
Credit Risk Term-Structures for Lifetime Impairment Forecasting: A Practical Guide
|
J. Skoglund
|
SAS Institute
|
SSRN
|
Aug 2016
|
Adapting Basel's A-IRB Models for IFRS 9 Purposes
|
P. Miu, B. Ozdemir
|
McMaster University - DeGroote School of Business
|
SSRN
|
Aug 2016
|
Estimating Lifetime Expected Credit Losses Under IFRS 9
|
X. Xu
|
Fair Issac (FICO) Analytic Science
|
SSRN
|
Jun 2016
|
Point-In-Time (PIT) LGD and EAD Models for IFRS9/CECL and Stress Testing
|
G Chawla, L.R.Forest Jr., S.D.Aguais
|
Aguais & Associates
|
Company Website
|
May 2016
|
Some options for evaluating significant deterioration under IFRS 9
|
G Chawla, L.R.Forest Jr., S.D.Aguais
|
Aguais & Associates
|
Company Website
|
Mar 2016
|
A semi-parametric Probability of Default model
|
C Ertan, A Gansmann
|
Stockholm School of Economics
|
Master Thesis
|
Feb 2016
|
Sizing the Stage 2 Portfolio for IFRS 9 Provisions
|
V. Brunel
|
Société Générale
|
SSRN
|
Jan 2016
|
Estimating expected lifetime of revolving credit facilities in an IFRS 9 framework
|
J. Berglund
|
Lund University
|
Lund University
|
Nov 2015
|
Probabilities of Default for Impairment Under IFRS 9
|
A. Conze
|
Hiram Finance
|
SSRN
|
Sep 2015
|
Credit Risk according to IFRS 9: Significant increase in Credit Risk and implications for Financial Institutions
|
D. Beerbaum, S. Ahmad
|
University of Surrey, Guildford, Surrey Business School; University of Cologne
|
SSRN
|
Jul 2015
|
Endogenous Derivation and Forecast of Lifetime PDs
|
V. Perederiy
|
Postbank / Deutsche Bank Group
|
SSRN
|
Jun 2015
|
Estimating the term structure of default probabilities for heterogeneous credit portfolios
|
F.Bogren, F.Lindskog
|
Royal Institute of Technology
|
Master Thesis
|
Jan 2015
|
Methodological Thoughts on Expected Loss Estimation for IFRS 9 Impairment
|
W. Reitgruber
|
Unicredit
|
SSRN
|