Speaking with Risk.net, Richard Crecel, Global Credit Data’s Executive Director, discusses variability in credit loss estimates for IFRS 9, following the release of their latest benchmarking study.
Crecel notes that, “when you test models against the same reference portfolio, you find a large distribution of outcomes – meaning two different institutions would treat expected losses differently on the same defaulted loan.”
Read the full article here. (paywall)
Read Global Credit Data’s IFRS 9 report here.