IFRS 9 Modeling Resources
List of IFRS 9 and CECL Modeling Resources
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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.
A related resource is the IFRS 9 Glossary, a collection of term definitions relevant for the implementation of the standard, along with pointers to further content and discussions.
Publications from Accounting Bodies
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.
Standards and Overviews
1. Date | 2. Title | 3. Authors | 4. Organization | 5. URL |
---|---|---|---|---|
Feb 2016 | IFRS Standard 9: Financial Instruments | IFRS Staff | IFRS | eIFRS (Registration Required) |
Jun 2016 | Measurement of Credit Losses on Financial Instruments | FASB Staff | FASB | FASB Site |
Oct 2015 | Expected losses – a paradigm shift | S.Lloyd, F.Nieto | IASB | IFRS Site |
Jul 2014 | IFRS Standard 9: Financial Instruments. Project Summary | IFRS Staff | IFRS | IFRS Site |
IFRS Interpretations Committee meeting 2015-2019 Meetings
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 |
---|---|---|---|---|
Mar 2019 | Curing of a credit-impaired financial asset | IFRS Staff | IASB | IFRS Site |
Mar 2019 | Physical settlement of contracts to buy or sell a non-financial item | IFRS Staff | IASB | IFRS Site |
Nov 2018 | Credit Enhancement in the Measurement of Expected Credit Losses | IFRS Staff | IASB | IFRS Site |
Nov 2018 | Physical Settlement of Contracts to Buy or Sell a Non-Financial Item | IFRS Staff | IASB | IFRS Site |
Nov 2018 | Presentation of Contractual Interest | IFRS Staff | IASB | IFRS Site |
Nov 2016 | Modification/Exchange of Financial Liabilities that Do Not Result in Derecognition | IFRS Staff | IASB | IFRS Site |
Nov 2016 | Impact of symmetric ‘make whole’ and fair value prepayment options on the assessment of the SPPI condition | IFRS Staff | IASB | IFRS Site |
Nov 2015 | Derecognition of Modified Financial Assets | IFRS Staff | IASB | IFRS Site |
Nov 2015 | Measurement of Long-term Interests | IFRS Staff | IASB | IFRS Site |
Nov 2015 | Net Investment Hedges | IFRS Staff | IASB | IFRS Site |
Transition Resource Group for Impairment of Financial Instruments 2015 Meetings
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 |
September 2013 FASB / IASB Meeting Agenda Items
1. Date | 2. Title | 3. Authors | 4. Organization | 5. URL |
---|---|---|---|---|
Sep 2013 | Responsiveness of the general model | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Stage 1 Measurement objective | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Definition of default | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Report on the Fieldwork | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Clarification on Expected Credit Losses | FASB Staff | FASB | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: Cover Paper | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: Amortised Cost as a Measurement Basis | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: The Meaning of ‘Principal’ | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: The Meaning of ‘Interest’ | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: Contingent Features | IFRS Staff | IFRS | IFRS Site |
Sep 2013 | Contractual Cash Flow Characteristics: Prepayment Features | 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 |