IFRS – 9 Expected Loss Provisioning using Excel

A series of concerns have been expressed since the adoption of the incurred losses paradigm by both the International Accounting Standard Board (IASB) and the Financial Accounting Standard Board (FASB). The recent (2007–2009) financial crisis uncovered this issue by inducing a review of accounting standards which culminated with the International Financial Reporting Standard number 9 (IFRS 9) and Current Expected Credit Loss (CECL).
This module provides a comprehensive guide on credit risk modelling and validation for IFRS 9 and
CECL expected credit loss (ECL) estimates
The zip contains the following excel sheets-
1. Generalised Linear Models
2. Machine Learning (ML) Modelling
3. Low Default Portfolio, Market-Based, and Scarce Data Modelling
4. Lifetime GLM Framework
5. Survival Modelling
6. Lifetime Machine Learning (ML) Modelling
7. Transition Matrix Modelling
8. Probability of Cure
9. LGD Regression Methods – Tobit Regression & Beta Regression
10. LGD Machine Learning (ML) Modelling
11. LGD Survival Analysis
12. Full Prepayment Modelling via GLM
13. Multinomial Regression Competing Risks Modelling
14. EAD Modelling
The excel sheets comes accompanying with a PPT explaining all the steps.