Analysis of Bond’s IFRS 9 Expected Credit Loss using Vasicek Method

Expected Credit Loss is the most important thing as it’s the best way to mitigate the credit risk that arise in banking activities and directly impacted to statement of profit and loss. Previous regulation used historical component data that leads to late prediction will be replaced with new regulation that should incorporate forward looking scenario method so that the late prediction will not happen. The focus of this research is to analyze and estimate expected credit loss of bond’s bank exposure that need to be impaired. This empirical research also compare different method and scenario for banks to predict expected credit loss. The data were collected based on the Bank’s net corporate bond’s as shown on December 2020 bank’s annual report. Using Vasicek Method will allow bank to predict expected credit loss precisely as this method incorporate different forward looking macroeconomic scenario.