Switching from Incurred to Expected Loan Loss Provisioning: Early Evidence
研究了全球强制要求银行从已发生损失拨备转向预期信用损失拨备的影响，发现预期损失拨备更能预测银行未来风险，且首次实施影响越大，股票回报越低、信用违约互换价差变化越大，尤其在信用恶化时更明显。
ABSTRACT This paper provides early evidence on the effect of global regulation mandating a switch from loan loss provisioning (LLP) based on incurred credit losses (ICLs) to LLP based on expected credit losses (ECLs). Using a sample of systemically important banks from 74 countries, we find that ECL provisions are more predictive of future bank risk than ICL provisions. Corroborating that the switch to ECL provisioning results in more information to assess bank risk, we also observe that the announcement of a larger first‐time impact of the accounting change elicits lower stock returns and higher changes in credit default swap spreads. Critically, these patterns are most pronounced when credit conditions deteriorate. Additional analyses show that the higher information content of the ECL model stems from the provisions for nondefaulted loans, which did not exist under ICL. Our study contributes to the debate on the effect of the ECL model on procyclicality, an especially pressing issue in the context of the current pandemic.