TY - JOUR
T1 - Impairment Model Applying Montecarlo Simulation
T2 - Expected Loss Approach for Companies in the Real Sector
AU - Sánchez-Serna, Aracely
AU - Camacho-Zabala, Elmer Adrián
AU - Varon, Milton Januario Rueda
AU - Sandoval, Alba Rocío Carvajal
N1 - Publisher Copyright:
© 2021, Society for Alliance, Fidelity and Advancement (SAFA). All rights reserved.
PY - 2021
Y1 - 2021
N2 - In the credit risk impairment model framed within International Financial Reporting Standards 9, companies must estimate a probability of default (PD) for all financial assets valued at amortized cost. Research results shown in this article focus on an impairment model for companies in the real sector. A model framed in Montecarlo and in the International Scoring, Fair Isaac and Company methodology is proposed. First, each sector is risk rated; then, depending on the historical date of loss of its financial assets, each entity calculates the PD according to the rating of the sector where its financial assets are located. Finally, the model classifies each sector in a credit risk score, and allows to validate, through Montecarlo simulation, the probability of loss directly in the companies.
AB - In the credit risk impairment model framed within International Financial Reporting Standards 9, companies must estimate a probability of default (PD) for all financial assets valued at amortized cost. Research results shown in this article focus on an impairment model for companies in the real sector. A model framed in Montecarlo and in the International Scoring, Fair Isaac and Company methodology is proposed. First, each sector is risk rated; then, depending on the historical date of loss of its financial assets, each entity calculates the PD according to the rating of the sector where its financial assets are located. Finally, the model classifies each sector in a credit risk score, and allows to validate, through Montecarlo simulation, the probability of loss directly in the companies.
KW - IFRS 9
KW - Impairment of financial assets
KW - Montecarlo
KW - Probability of default
KW - expected losses
UR - http://www.scopus.com/inward/record.url?scp=85146464800&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:85146464800
SN - 1837-6614
VL - 11
SP - 99
EP - 117
JO - International Journal of Business and Management Science
JF - International Journal of Business and Management Science
IS - 1
ER -