The New Impairment Model Under IFRS 9 - Risk Books
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The New Impairment Model Under IFRS 9

By Jing Zhang


As part of the response to the last financial crisis, the International Accounting Standards Board (IASB) finalised it's new standard - IFRS 9 - in July 2014.

The package of improvements introduced by IFRS 9 includes a logical model for classification and measurement, a single, forward-looking 'expected loss' impairment model and a substantially-reformed approach to hedge accounting.

This title focuses specifically on the second part of the package of improvements. It discusses the new requirements for measuring the impairment of financial assets and highlights the challenges faced by institutions in implementing the new accounting requirements.

The book features contributions from a number of industry experts. The topics they cover include:

  1. > The FASB's current expected credit loss (CECL) model for impairment

  2. > The challenges faced by institutions in implementing the new requirements, and options for overcoming them

  3. > Business impacts of the new requirements on financial institutions - ranging from loan origination, renewal and pricing to earnings and capital management

  4. > How institutions can prepare themselves for these impacts

Publish date: 28 Feb 2018

Availability: In stock

Product Unit Price Qty
Book - The New Impairment Model Under IFRS 9
eBook - The New Impairment Model Under IFRS 9

Book description

Why should you purchase a copy?

Anyone involved in the implementation process can apply techniques from the book directly, borrow ideas, and benchmark their own approaches.

Readers not involved in direct implementation but affected by subsequent impacts will be better prepared for the changes.

Auditing and consulting firms and other service providers will learn how to design better products and services for clients.

Regulators and those working at supervisory bodies will gain a better understanding of industry practices and business implications.

Academics will be able to better frame their research efforts and to construct more practical and relevant research topics.

Book details

Book - 978-1-78272-347-9 / EBook - 978-1-78272-401-8
Publish date
28 Feb 2018
230mm x 280mm

Author biography

Jing Zhang

Jing Zhang is a Divisional Managing Director and the Global Head of Moody’s Analytics Quantitative Research Group. Formerly known as the Moody’s KMV Research Group, the team is responsible for the quantitative modeling behind the EDF and LGD models for both public and private firms, commercial real estate, and portfolio and ALM analytics. Jing joined the KMV research team in 1998, eventually managing day-to-day research operations in 2000. He has made major contributions to a number of KMV quantitative models widely used in the industry today. Jing has also held a number of additional senior roles in Product Management and the Client Solutions Group, and he has advised banks and other financial institutions on risk management issues for many years. He has extensive experience supporting CCAR banks conducting loss estimation, PPNR modeling, model validation,  benchmarking and capital planning, stemming from more than a dozen major client projects. Jing obtained his Ph.D. from the Wharton School of the University of Pennsylvania and his Master Degree from Tulane University. He was a lecturer for the Master of Financial Engineering Program at the University of California, Berkeley from 2010–2012. His research papers have been published in both academic and industry journals, such as the Journal of Time Series, the Journal of Fixed Income, and the Journal of Risk Model Validation

Table of contents

1. The New Era of Expected Credit Loss Provisioning - Benjamin H. Cohen and Gerald A. Edwards, Jr., Bank for International Settlements and JaeBre Dynamics

2. The Making of CECL Standard: Comments and Reflections - Larry Smith, FTI Consulting

3. Sources of Modelling Variation in CECL Allowances - Fang Du, Chris Finger, Ben Ranish and Robert Sarama, Board of Governors of the Federal Reserve System

4. A CRO's Perspective: Implementing, Operationalising and Governing of IFRS 9 - Bogie Ozdemir, CWB Financial Group

5. Implementing Both IFRS 9 and CECL - Jimmy Yang and Kenneth Chen, BMO Financial Group and EY

6. Macroeconomic Forecasting and Scenario Design for IFRS 9 and CECL - Cristian deRitis, Juan M. Licari, and Gustavo Ordonez-Sanz, Moody's Analytics and HSBC

7. Technology Solutions for CECL and IFRS 9 - Sidhartha Dash, Chartis Research

8. Implementing IFRS 9: Quantifying Expected Credit Losses in Retail and Wholesale Portfolios - Juan Licari and Yashan Wang, Moody's Analytics

9. From Incurred Loss to CECL: Historical Perspectives and Practical Guidance - Michael Araten, Credit Risk Capital Advisory

10. Loss Forecasting Retail and Commercial Portfolios for CECL - Cristian deRitis and Douglas W. Dwyer, Affiliation

11. Implementing CECL at Small and Community Banks - Michael L. Gullette, American Bankers Association

12. The New Impairment Model: Audit and Disclosure Challenges - Yvonne Chan, KPMG LLP

13. The New Impairment Model: Governance and Validation - Damien Burke, 4most

14. The Impacts of CECL: Empirical Assessments and Implications - Michael Fadil, Citizens Bank

15. How the New Impairment Model Could Affect Banks' Business Models - Hans Helbekkmo and Pankaj Kumar, McKinsey & Company

16. Measuring and Managing the Impact of New Impairment Models on Dynamics in Allowance, Earnings and Bank Capital - Amnon Levy and Jing Zhang, Moody's Analytics

17. Integration into Regulatory Capital Frameworks - Adrian Docherty, BNP Paribas

18. Implications for Equity and Debt Investors - Adrian Docherty, BNP Paribas

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