Taking Stock: The Aggregate Effects of the Spanish Flu

Basco, Sergi; Domènech, Jordi; Rosés, Joan R.

doi:10.1007/978-3-031-05668-0_6

Cited by 1 publication

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References 37 publications

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“…The model forecast errors are significant when there are market shocks never experienced historically. During the COVID-19 pandemic, researchers attempted to predict the economic recovery process by drawing lessons from the previous pandemic, the Spanish flu in 1918-1920, but acknowledged that the 2020 economic environment was very different (Bishop 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

The Governance and Disclosure of IFRS 9 Economic Scenarios

Stander

2023

JRFM

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Extraordinary economic conditions during the COVID-19 pandemic caused many IFRS 9 impairment models to produce unreliable results. Severe market reactions, resulting from unprecedented events, prompted swift action from the regulatory authorities to maintain the financial system’s stability. Banks managed the uncertainty and volatility in the models with expert overlays, increasing the risk of biased outcomes. This study examines new ways of enhancing the governance and transparency of the IFRS 9 economic scenarios within banks and suggests additional financial disclosures. Benchmarking is proposed as a useful tool to evaluate the IFRS 9 economic scenarios and ensure effective challenge as part of a model risk governance framework. Archimedean copulas are used to generate objective economic benchmarks. Ideas around benchmarking are illustrated for a set of South African economic variables, and the outcomes are compared to the IFRS 9 scenarios published by the six biggest South African banks in their annual financial statements during the pandemic.

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Section: Literature Reviewmentioning

confidence: 99%

The Governance and Disclosure of IFRS 9 Economic Scenarios

Stander

2023

JRFM

View full text Add to dashboard Cite

show abstract

Taking Stock: The Aggregate Effects of the Spanish Flu

Cited by 1 publication

References 37 publications

The Governance and Disclosure of IFRS 9 Economic Scenarios

The Governance and Disclosure of IFRS 9 Economic Scenarios

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