Adapting Basel's A-IRB Models for IFRS 9 Purposes

Banks around the globe are implementing IFRS 9 which is a considerable effort. A key element of IFRS 9 is a forward-looking “expected loss” impairment model, which is a significant shift from the current incurred loss model. In this paper, we examine how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes. We highlight the necessary model adaptations required to satisfy the new accounting standard. By …