Fair Value and Expected Credit Loss Estimation: An Accuracy Comparison of Bond Price versus Spread Analysis Using Lehman Data

The International Financial Reporting Standard (“IFRS”) 9 and the Financial Accounting Standard Board’s (“FASB”) Current Expected Credit Loss (“CECL”) model significantly raise the accuracy bar for valuation and credit risk analytics for all organizations who report under their aegis.

In both cases, the visibility of the organization’s valuation and credit risk assessment moves from the back office or middle office, seen primarily by risk experts, to center stage under a bright spot light

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