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Expected Loan Loss Provisions, Business- and Credit Cycles

David Gruenberger

出版	SSRN, 2013
URL	http://books.google.com.hk/books?id=rJvdzwEACAAJ&hl=&source=gbs_api

註釋

The recent global financial crisis has intensified calls to make the financial sector less crisis-prone, and to this end to make impairment recognition rules for debt instruments more forward looking. To better understand the behavior of different impairment rules and their potential effect on bank income and lending, a migration model simulates the “incurred loss”, the “lifetime loss” and “three bucket” approaches now under consideration by standard setters. The last two “expected loss” accounting approaches are found not to reduce the cyclicality of accounting income or credit supply as long as banks cannot reliably predict future rating migrations. An alternative approach is proposed, under which risk weighting could reduce the volatility of bank profits and lending without reducing accounting transparency.