It is evident that the definition of expected credit losses (ECL) diverges between International Financial Reporting Standard 9 (IFRS 9) (the accounting model recently adopted by European banks) and the probability of default/loss given default methodology used in the Basel internal ratings-based approach to capital adequacy estimation. The ongoing discussion on the incorporation of lifetime ECL into the Basel framework – through the adoption of lifetime expected losses with the greatest possible consensus – will eventually lead to modifications, but for the time being it is not optimal. We establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, we propose two alterations to the risk weight functions that constitute the core of the Basel advanced methodologies.


中文翻译：

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巴塞尔风险权重函数和前瞻性预期信用损失

显然，预期信用损失 (ECL) 的定义在国际财务报告准则 9 (IFRS 9)（欧洲银行最近采用的会计模型）与巴塞尔内部评级中使用的违约/损失概率法之间存在差异基于资本充足率估计的方法。正在进行的关于将生命周期 ECL 纳入巴塞尔框架的讨论——通过采用具有最大可能共识的生命周期预期损失——最终将导致修改，但目前还不是最优的。我们确定，终生预期信用损失与依赖于一年期限的巴塞尔资本充足框架相结合，导致资本高估。除了这一发现，为了缓解这个问题，