Tue, 06 Feb 2018 09:17:13 +0000 An overview of the Loss given default By KELVIN CHUNGU IN my quest to provide information that eases the implementation challenges of IFRS 9 for financial institutions and those entities with significant financial assets meeting the amortised cost classification. I have written three articles in the last month, to provide a simplified overview of the International Financial Reporting Standard 9 (IFRS 9) expected credit loss (ECL) model. In this vein, I discussed the formulae for calculating the expected credit losses under the general approach, as the Probability of Default (PD) x Loss Given Default (LGD) x Exposure at Default (EAD). In the first two articles, I gave an overview of IFRS 9 while the third article focused on how to introduce forward-looking metrics in the estimation of the credit losses. Suffice to say, there are various models that are used to determine the individual components of PD, LGD and […]
