Accounting for default correlation in expected credit loss impairment

基于与CWB金融集团的成功合作（通过NSERC Engage提供支持），我们 ** 继续分析在新的会计原则下建立信贷准备金的统计方法，即所谓的国际财务报告准则（IFRS）9。IFRS 9要求银行以前瞻性方式确认预期 ** 信用损失。银行需要找到并实施一种合适的统计方法，以识别信用风险显著增加的 ** 贷款，并为这些贷款建立额外的拨备。这就导致了在更早地确认信贷损失同时避免更高的收入波动性方面的挑战。在这个新项目中，我们 ** 将特别专注于估计和分析违约相关性对实施IFRS 9的影响。贷款的违约事件通常是相关的，这会影响银行的风险，因为相关的违约意味着几笔贷款同时违约的概率更高。本项目的目标是找到一种适当的方式 **，在《国际财务报告准则第9号》的框架内处理违约相关性，同时在较早确认 ** 信贷损失与避免收入过度波动之间取得平衡。

Based on the successful collaboration with CWB Financial Group (supported through NSERC Engage), we**continue to analyze statistically good ways of building credit provision under a new accounting principle, the**so-called International Financial Reporting Standards (IFRS) 9. IFRS 9 requires banks to recognize expected**credit losses in a forward-looking way. Banks need to find and implement a suitable statistical way to identify**loans with a significantly increase in credit risk and build additional provisions for these loans. This leads to**challenges in recognizing credit losses earlier while avoiding higher income volatility. In this new project, we**will particularly focus on estimating and analyzing the influence of default correlation in implementing IFRS 9.**The default events of loans are often correlated, which affects the bank's risk, as correlated defaults imply a**higher probability that several loans default at the same time. The goal of this project is to find a suitable way**of treating default correlation in the framework of IFRS 9 while balancing the trade-off between recognizing**credit losses earlier while avoiding excessive income volatility.