M. Gross, Dimitrios Laliotis, Mindaugas Leika, Pavel Lukyantsau
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引用次数: 9
Abstract
The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress tests.
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