Jiří Panoš, Petr Polák
This paper describes the implementation of the IFRS 9 accounting standard into a macroprudential (top-down) stress-testing framework. It sets out to present a possible way of overcoming data issues and discusses key assumptions which have an effect on the end results and which stress testers should be aware of. According to the results, macroeconomic expectations play a crucial role in the pass-through of impairment. The paper also presents evidence about the pro-cyclicality of the IFRS 9 approach.
JEL Codes: E44, E62, G01, G21
Keywords: IFRS 9, impairments, loan loss provisions, macroprudential policy, stress testing
Issued: December 2019
Download: RPN No. 3/2019 (pdf, 419 kB)