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Are we nearly there yet? Banks navigate ESG loan accounting

Lenders ask standards boards for guidance on how rules should be applied

International accounting standards boardFinancial accounting standards boardFinancial accounting standards board fasbNternational accounting standards board iasbNited kingdom ukNited states usIfrs 9Generally accepted accounting principles gaap

ING takes €1 6bn capital hit on Russia exposures

Bank adds €834 million of provisions and takes €9 billion of new credit RWAs

Souring russiaKing groupEuropean banking authority ebaIsk weighted assets rwasCredit riskRussia ukraine conflictLoan loss reservesOmmon equity tier 1 cet1 capitalCapital requirementsCounterparty credit riskDefault riskIfrs 9Ating migrationIsk quantum

Modeling credit risk in the presence of central bank and government intervention - Journal of Risk Model Validation

In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for

Us federal reserve bankReserve bankCredit risk modellingBasel iiIfrs 9Robability of default pdOriginal research

Impairment of Loans Under the New EU Expected Loss Model

EU Regulation No 2021/25 of the Commission of 13 January 2021, which took effect on 1 January 2022, amended Regulation No 1126/2008 with the changes previously introduced on 27 August 2020 in Interest Rate Benchmark Reform - Phase 2 - Amendments to IFRS 9, IAS 39.

International accounting standards boardRate benchmark reformUnexpected lossExpected loss modelThree bucket impairment modelEuropean unionMpairment of loansIfrs 9Expected loss modelU regulation no 2021 25Ias 39Frs 7Ifrs 4

New model simplifies loan-loss forecasts Some say it s too simple

Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios

Michael winandsUnited states usCredit riskRedit risk capitalCredit risk modellingIfrs 9Balance sheetCorporate loansRegional banksRetail loansRisk management

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