IFRS 9 Modeling Resources

From Open Risk Manual

List of IFRS 9 and CECL Modeling Resources

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.

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

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

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

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