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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Is The Effect Of Current
Rules Of International Accounting And Prudential Tools Make The Bank
Reserving Pro-Cyclical? – Modelling
Of Impairment Under IFRS 9 And Countercyclical Capital Buffer |
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Authors: |
Kadar
Csaba |
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Published in:
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(2019). ECMS 2019
Proceedings Edited by: Mauro Iacono, Francesco Palmieri, Marco Gribaudo,
Massimo Ficco, European Council for Modeling and
Simulation. DOI: http://doi.org/10.7148/2019 ISSN:
2522-2422 (ONLINE) ISSN:
2522-2414 (PRINT) ISSN:
2522-2430 (CD-ROM) 33rd International ECMS Conference on Modelling and Simulation, Caserta, Italy, June 11th
– June 14th, 2019 |
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Citation
format: |
Kadar Csaba (2019).
Is The Effect Of Current Rules Of International Accounting And Prudential
Tools Make The Bank Reserving Pro-Cyclical? – Modelling Of Impairment Under IFRS 9 And Countercyclical
Capital Buffer, ECMS 2019 Proceedings
Edited by: Mauro Iacono, Francesco Palmieri, Marco Gribaudo,
Massimo Ficco European Council for Modeling and
Simulation. doi: 10.7148/2019-0097 |
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DOI: |
https://doi.org/10.7148/2019-0097 |
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Abstract: |
With the introduction of IFRS 9, impairment recognition of the International Financial and Reporting Standards changed significantly in 2018. In this paper, I am modelling the connection between impairment model under the new IFRS 9 standard and countercyclical capital buffer of Basel III prudential regulation. I emphasize the behaviour of the prudential and accounting regulation over the economic cycle. More concretely, this means that, I am modelling the effect of macro environment to the allowance and going to compare it with regulatory mechanism of countercyclical capital buffer. |
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