Cheruiyot W. Kipkoech

A Stochastic Uncertainty-Propagation Framework for Forward-Looking Expected Credit Loss Under IFRS 9: An Empirical Illustration from an Emerging-Market Banking Portfolio

IFRS 9 requires expected credit loss (ECL) measurement to incorporate past events, current conditions and reasonable and supportable forecasts of future economic conditions. This study develops a stochastic uncertainty-propagation framework that maps uncertainty in credit-risk inputs and economic scenarios into a distr...