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0111 · Mar 202319922001200920172026
1 result for “SICR-events”
Defining and comparing SICR-events for classifying impaired loans under IFRS 9q-fin.RM

We redefine SICR-events for better loan classification under IFRS 9.

problem Ambiguity in SICR-event definition under IFRS 9.
method Proposed alternative framework with three parameters: delinquency, stickiness, and outcome period. Varying these parameters, we generated 27 unique SICR-definitions and fitted logistic regression models.
result The proposed SICR-models outperform the PD-comparison approach as an early-warning system for credit losses.
IFRS 9SICR-eventsCredit RiskLogistic RegressionLoan Classification
2023-03-06abs ↗pdf ↗