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HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège
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Etude de la nouvelle réglementation relative à la prise en compte du risque de crédit sur les dépréciations en IFRS (Nouveau standard IFRS 9)

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Close, Adrien ULiège
Promotor(s) : Schumesch, Patrice ULiège
Date of defense : 18-Jun-2019/20-Jun-2019 • Permalink : http://hdl.handle.net/2268.2/6583
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Title : Etude de la nouvelle réglementation relative à la prise en compte du risque de crédit sur les dépréciations en IFRS (Nouveau standard IFRS 9)
Author : Close, Adrien ULiège
Date of defense  : 18-Jun-2019/20-Jun-2019
Advisor(s) : Schumesch, Patrice ULiège
Committee's member(s) : Capodici, Giuseppina ULiège
Pays, Isabelle ULiège
Fransolet, Emmanuelle 
Language : French
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] IFRS 9 introduces both a new classification system for financial assets and a new impairment model. My mission was to assist a large Belgian insurer, Ethias, in implementing this new standard. The classification model brings two major changes: the fund units that will be accounted for through the income statement and the accounting treatment of equity, which will no longer be recycled through the P&L on disposal. These two changes could force financial institutions to adapt their investment policies. The choices made by Ethias and their impacts will be presented in this thesis.
The new impairment model, which aims to prevent late recognition of credit losses, introduces the calculation of expected credit losses. After having discussed the concept of staging, the 4 parameters necessary for the calculations will be explored in depth. Several formulas for obtaining one-year and lifetime ECLs will be described and compared. The ECLs will be presented from both a bond and a mortgage perspective. The impact of these new requirements on Ethias will then be discussed.
This standard requires financial institutions to assess the credit risk of all their financial assets. In this context, two internal rating procedures for assigning ratings to unrated issuers will be explained.
Finally, the role assigned by the regulator to rating agencies in this standard will be discussed, including the ethical implications of this role.


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  • Close, Adrien ULiège Université de Liège > Master sc. gest., à fin.

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