Research on Expected Credit Loss Estimation of Financial Instruments Based on Improved Migration Rate Model:Taking Company B as an Example
The biggest change in the new version of CAS22 is the adjustment of financial assets'impairment provision,which changes from"incurred loss"to"expected credit loss".Therefore,enterprises need to pay forward-looking attention to potential risks in the future to ensure asset quality and avoid insufficient or untimely impairment provision.In this context,this paper takes enterprise B in non-financial environmental protection industry as a case,combines the enterprise itself,relevant industry and national data to build a prospective evaluation index system,improves the migration rate model through machine learning DT-LSTM model,evaluates the expected credit loss of the enterprise's financial instruments,and compares the results with the migration rate model.Meet the accounting prudence principle and make recommendations.
Migration rate modelMachine learningExpected credit lossesCase study
NETL
NSTL
万方数据
