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All Journal Ilomata International Journal of Tax and Accounting
Miryam C. González-Rabanal
Universidad Nacional de Educación a Distancia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Application of IFRS 9 Financial Instruments and the Exposure to Credit Risk (Case Study in Ecuador) Marlon Manya; Miryam C. González-Rabanal
Ilomata International Journal of Tax and Accounting Vol. 4 No. 2 (2023): April 2023
Publisher : Yayasan Ilomata

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52728/ijtc.v4i2.723

Abstract

The COVID-19 pandemic has caused certain elements of the Financial Statements, such as accounts receivable, to show a greater indication of impairment, caused by the difficulty and possibility of insolvency of customers in the recovery of outstanding securities . This caused companies in general to modify the accounting treatment under the international standard IFRS 9 applicable from 2018. The objective of this article is to determine the portfolio risk that affects the calculation of these provisions, through a case study in Ecuador. To this end, a database of clients of a non-financial company was analyzed, and the composition of its portfolio segmented by day of delay, observing the component called probability of default (PD), which was determined by binary logistic regression. A model was obtained that allowed to obtain the desired probability, and consequently under the approach of IFRS 9, the calculation of the expected credit loss (ECL). The results obtained estimated a portfolio impairment of 23%, compared to the baseline scenario of 9%.
Co-Authors Marlon Manya