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:
- The FASB's current expected credit loss (CECL) model for impairment
- The challenges faced by institutions in implementing the new requirements, and options for overcoming them
- Business impacts of the new requirements on financial institutions - ranging from loan origination, renewal and pricing to earnings and capital management
- How institutions can prepare themselves for these impacts
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
Dr Jing Zhang is a Managing Director and the Global Head of Moody’s Analytics Research and Modeling Group. Rooted in the pioneering efforts of B&H and KMV, the group is responsible for the quantitative modeling behind the EDF and LGD models for both public and private firms, commercial real estate, and portfolio and balance sheet analytics for banks and insurance firms.
Jing joined the research team at the former KMV in 1998, eventually becoming a Director in the Research Group. In that role, besides managing day-to-day research operations, he made major contributions to a number of KMV quantitative models. Since then, Jing has held a number of additional senior roles at Moody’s KMV in Product Management and the Client Solutions Group, and he has many years of experience advising clients on risk management issues.
Jing obtained his PhD from the Wharton School of the University of Pennsylvania and his MA from Tulane University. He was a lecturer for the Master of Financial Engineering program at the University of California, Berkeley from 2010 to 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, Journal of Credit Risk, and the Journal of Risk Model Validation. He is also the editor of the titles CCAR and Beyond (2014) and The New Impairment Model Under IFRS 9 and CECL (2018).