This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling. Commonly, credit default swap(CDS) spreads are considered as market indicators of future debt performance. However, we demonstrate empirically that nondefault risks explain a relevant part of the CDS spread, and we assess the average weight-of-default component for each point in the CDS spread term structure. Thus, to be used for probability of default estimations, CDS spreads must be adjusted for the nondefault component to guarantee the neutral character of expected credit loss estimations, as required by IFRS 9. Our study introduces an innovative methodology for extracting the pure default component and probability of default calibration. To enable economic adjustment of probabilities of default we analyze the relationship between a long-run average of the across-the-sample mean CDS spread of the homogeneous cohort of issuers and the spread implied by the long-run average of the observed default rates. Our easy-to-implement solution is applied to a sample of investment-grade and high yield corporate debt issuers. We exploit differences in the economic performance of North American and euro zone obligors. The proposed framework allows us to understand complex interactions between the forward-looking impairment provisions and economic capital requirements in relation to credit losses.

中文翻译：

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符合 IFRS 9 的预期信用损失模型的经济调整

本文介绍了与预期信用损失建模相关的符合国际财务报告准则 9 (IFRS 9) 的解决方案。通常，信用违约掉期 (CDS) 利差被视为未来债务表现的市场指标。然而，我们凭经验证明非违约风险解释了 CDS 利差的相关部分，并且我们评估了 CDS 利差期限结构中每个点的平均违约权重分量。因此，要用于违约概率估计，CDS 利差必须针对非违约部分进行调整，以保证预期信用损失估计的中性特征，这符合 IFRS 9 的要求。我们的研究引入了一种创新方法来提取纯违约部分和默认校准的概率。为了能够对违约概率进行经济调整，我们分析了同质发行人群体的跨样本平均 CDS 利差的长期平均值与观察到的违约率的长期平均值所隐含的利差之间的关系。我们易于实施的解决方案适用于投资级和高收益公司债券发行人的样本。我们利用北美和欧元区债务人经济表现的差异。拟议的框架使我们能够了解前瞻性减值准备与与信用损失相关的经济资本要求之间的复杂相互作用。我们易于实施的解决方案适用于投资级和高收益公司债券发行人的样本。我们利用北美和欧元区债务人经济表现的差异。拟议的框架使我们能够了解前瞻性减值准备与与信用损失相关的经济资本要求之间的复杂相互作用。我们易于实施的解决方案适用于投资级和高收益公司债券发行人的样本。我们利用北美和欧元区债务人经济表现的差异。拟议的框架使我们能够了解前瞻性减值准备与与信用损失相关的经济资本要求之间的复杂相互作用。