This paper illustrates the evidence collected from a benchmarking exercise on the implementation of IFRS 9 by a sample of Italian banks and non-bank financial institutions, focusing on the modelling practices adopted to estimate expected credit losses during the pandemic. The pandemic crisis highlighted the limits of the standard IFRS 9 models and was an important testing ground to assess the impact of the different IFRS 9 implementation practices.
In line with the EBA's observations on a sample of large European banks, the results//findings presented in this paper show the adoption of diverse practices, some of which deserve further scrutiny for a robust IFRS 9 implementation. This reinforces the need for intermediaries to improve and fine-tune their approaches over time to avoid underestimating expected credit losses, which is paramount also given the potential implications for financial stability.
