literature on reserves

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charts:

• https://fred.stlouisfed.org/series/USLLRTL

heavier reading:

• https://www.dnb.nl/binaries/working%20Paper%20404_tcm46-301517.pdf
• https://www.bis.org/publ/qtrpdf/r_qt1703f.htm
• https://www.bde.es/f/webbde/GAP/prensa/intervenpub/diregen/regula/ficheros/es/regula170609e.pdf

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Credit risk / lending cycle modelling:

• Regulatory use of system-wide estimations of PD, LGD and EAD
• Reserve Requirements and Loan Loss Provisions as Countercyclical Macroprudential Instruments: A Perspective from Latin America
• Credit cycles, credit risk, and prudential regulation
• Implications of Banks’ Credit Risk Modeling for their Loan Loss Provision Timeliness and Loan Origination Procyclicality

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Macroeconomic variables in point int time PD estimate (PIT PD) in IFRS 9:

• slides 19, 20

• Basel vs IFRS 9

• Demystifying Expected Credit Loss (ECL)

• IFRS 9 Modelling Methodology & Implementation

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Beyond credit risk models, the guidelines encourage firms to ensure consistency in macroeconomic forecasts used across the organisation, from ICAAP scenario analysis, stress testing business forecasting, strategic planning to IFRS 9 models and leveraging existing governance processes in place for macroeconomic scenarios in ICAAP. This will ensure that economic forecasts are disclosed transparently and consistently among ICAAP reports and IFRS 9 disclosures. https://www.moodysanalytics.com/-/media/article/2016/ifrs9-risk-chartis-market-report.pdf

• https://acta.mendelu.cz/media/pdf/actaun_2017065020759.pdf

• https://www.dico.com/design/Webinars_En/DICO-IFRS%209%20Modelling%20and%20Implementation.pdf

• IFRS comments

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R and Oracle