NAGIOS: RODERIC FUNCIONANDO

IFRS 9, banking risk and COVID-19: Evidence from Europe

Repositori DSpace/Manakin

dc.contributor.author	Salazar, Yadira
dc.contributor.author	Merello, Paloma
dc.contributor.author	Zorio-Grima, Ana
dc.date.accessioned	2023-11-15T16:10:41Z
dc.date.available	2023-11-15T16:10:41Z
dc.date.issued	2023
dc.identifier.uri	https://hdl.handle.net/10550/91193
dc.description.abstract	We explore whether the shift to the Expected Credit Loss model (ECL) helps Loan Loss Provisions (LLPs) anticipate future overall banking risk as compared to the Incurred Credit Loss model (ICL). Using a sample of European banks from 2015-2021, we find that ECL is more effective than ICL. We are pioneer to find evidence that stage 2 Loan Loss Allowance (LLA) is a good driver of future overall banking risk and that provisions moratoria due to the COVID-19 pandemic diminished the identified significant effect of LLPs and stage 2 LLA on banking risk, as expected.
dc.language.iso	eng
dc.relation.ispartof	Finance Research Letters, 2023, vol. 00, num. 104130, p. 1-13
dc.source	Salazar, Yadira Merello, Paloma Zorio-Grima, Ana 2023 IFRS 9, banking risk and COVID-19: Evidence from Europe Finance Research Letters 00 104130 1 13. https://doi.org/10.1016/j.frl.2023.104130
dc.subject	economia de mercat
dc.title	IFRS 9, banking risk and COVID-19: Evidence from Europe
dc.type	journal article
dc.date.updated	2023-11-15T16:10:42Z
dc.identifier.doi	10.1016/j.frl.2023.104130
dc.identifier.idgrec	162005
dc.rights.accessRights	open access