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Keywords: Lifetime expected credit loss
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2021) 22 (3-4): 193–208.
Published: 22 July 2021
...Bernd Engelmann Purpose The purpose of this article is to derive formulas for lifetime expected credit loss of loans that are required for the calculation of loan loss reserves under IFRS 9. This is done both for fixed-rate and floating rate loans under different assumptions on LGD modeling...
