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The effects of IFRS 9 on the comparability and the Predictive Ability on banks’ loan loss allowances

hal.structure.identifierMontpellier Research in Management [MRM]
dc.contributor.authorLejard, Christophe
hal.structure.identifierLaboratoire en Innovation, Technologies, Economie et Management (EA 7363) [LITEM]
dc.contributor.authorPaget-Blanc, Eric
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorCasta, Jean-François
dc.date.accessioned2021-09-21T15:54:39Z
dc.date.available2021-09-21T15:54:39Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21791
dc.description.abstractfrCet article a pour objet d’identifier les effets de l’adoption, en 2018, de la norme IFRS 9 sur les dotations et les provisions pour pertes de crédit divulguées par les banques. Il constitue l’un des premiers tests de post-implémentation de la nouvelle norme. Nos résultats montrent que l’adoption de la norme IFRS 9 a entrainé, lors de son application, une perte modérée pour les banques, avec des différences notables entre pays riches et pauvres. Les notes souveraines des pays où sont basées les banques ont vu leur influence sur les provisions augmenter, alors que celles des prêts non performants a diminué. Nous attribuons cela à l’utilisation des modèles d’espérance de perte de crédit pour le calcul des provisions, qui accordent un poids important à la notation financière. Nos résultats suggèrent que, suite à l’adoption de la norme IFRS 9, l’hétérogénéité des méthodes de calcul des provisions a augmenté, ce qui a altéré la comparabilité des provisions entre banques, L’adoption de la norme IFRS 9 n’a pas eu d’effet notable sur la relation étroite entre les provisions et les perte sur créances irrécouvrables à court-terme; ceci remet en question le principe de vision à long terme des provisions sous IFRS 9.en
dc.language.isoenen
dc.subjectprovisions pour créances douteusesen
dc.subjectpertes de crédit attenduesen
dc.subjectnotation souveraineen
dc.subjectLoan Loss Allowancesen
dc.subjectExpected Credit Lossesen
dc.subjectSovereign Ratingen
dc.subject.ddc657en
dc.subject.classificationjelM.M4.M41en
dc.titleThe effects of IFRS 9 on the comparability and the Predictive Ability on banks’ loan loss allowancesen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis research investigates how the adoption, in 2018, of the IFRS 9 standard has affected banks’ loan loss provision and allowance disclosures. This constitutes one of the first post-implementation tests of this new standard. Overall, we found that the introduction of IFRS 9 has translated into a moderate loss for banks on the day of the adoption, with significant differences between rich and poor countries. Following the adoption of IFRS 9, sovereign credit ratings have gained greater influence on loan loss allowances, while the influence of impaired loans has been eroded; we posit that this is largely due to the recourse to expected credit loss models – which give considerable weight to credit ratings – to measure provisions. Our results suggest that the heterogeneity of provisioning practices has increased with the switch to IFRS 9, which has altered the comparability of provisions across banks. The association of LLAs with short term loan losses remains close, which contradicts their forward-looking character, unless we deny the effect of economic cycles.en
dc.publisher.cityParisen
dc.identifier.citationpages53en
dc.relation.ispartofseriestitleDauphine Recherchesen
dc.relation.ispartofseriesnumberPaper N° 3782584en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.3782584en
dc.subject.ddclabelComptabilité comparée, comptabilités étrangèresen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-09-20T14:46:21Z
hal.identifierhal-03350978
hal.version1
dc.subject.classificationjelHALM - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics::M4 - Accounting and Auditing::M41 - Accountingen
hal.date.transferred2021-09-21T15:54:40Z
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