Author of the diploma thesis deals with the endorsement process of IFRS 9. In the first chapter, the author briefly describes the historical development of international accounting standards that have regulated or otherwise related to financial instruments and outlines the developments in the field. In the main chapter of the thesis, author discusses in detail the endorsement process, characterizes the bodies and institutions involved in the process, describes the endorsement process as such, analyses the criteria according to which the compliance of the new standard with EU law is assessed and describes how European institutions participate in preparing standards before their adoption by the IASB. Author shows how the described procedure and criteria are applied in the approval of IFRS 9. Lastly, author analyses on a sample of companies listed on the Prague Stock Exchange how these companies are considering the endorsement of IFRS 9 by the European Union and the obligation to report their financial instruments under IFRS 9 from 2018.

In recent years, the Buy Now Pay Later (BNPL) consumer credit industry associated with e-commerce has been rapidly emerging as an alternative to credit cards and traditional consumer credit products. In parallel, the regulation IFRS 9 was introduced in 2018 requiring creditors to become more proactive in forecasting their Expected Credit Losses and include the impact of macroeconomic factors. This study evaluates several methods of supervised statistical learning to model the Probability of Default (PD) for BNPL credit contracts. Furthermore, the study analyzes to what extent macroeconomic factors impact the prediction under the requirements in IFRS 9 and was carried out as a case study with the Swedish fintech firm Klarna. The results suggest that XGBoost produces the highest predictive power measured in Precision-Recall and ROC Area Under Curve, with ROC values between 0.80 and 0.91 in three modeled scenarios. Moreover, the inclusion of macroeconomic variables generally improves the Precision-Recall Area Under Curve. Real GDP growth, housing prices, and unemployment rate are frequently among the most important macroeconomic factors. The findings are in line with previous research on similar industries and contribute to the literature on PD modeling in the BNPL industry, where limited previous research was identified. / De senaste åren har Buy Now Pay Later (BNPL) snabbt vuxit fram som ett alternativ till kreditkort och traditionella kreditprodukter, i synnerhet inom e-handel. Dessutom introducerades 2018 det nya regelverket IFRS 9, vilket kräver att banker och andra kreditgivare ska bli mer framåtblickande i modelleringen av sina förväntade kreditförluster, samt ta hänsyn till effekter från makroekonomiska faktorer. I denna studie utvärderas flera metoder inom statistisk inlärning för att modellera Probability of Default (PD), sannolikheten att en kreditförlust inträffar, för BNPL-kreditkontrakt. Dessutom analyseras i vilken utsträckning makroekonomiska faktorer påverkar modellernas prediktiva förmågor enligt kraven i IFRS 9. Studien genomfördes som en fallstudie med det svenska fintechföretaget Klarna. Resultaten tyder på att XGBoost har den största prediktionsförmågan mätt i Precision-Recall och ROC Area Under Curve, med ROC-värden mellan 0.80 och 0.91 i tre scenarier. Inkludering av makroekonomiska variabler förbättrar generellt PR-Area Under Curve. Real BNP-tillväxt, bostadspriser och arbetslöshet återfinns frekvent bland de viktigaste makroekonomiska faktorerna. Resultaten är i linje med tidigare forskning inom liknande branscher och bidrar till litteraturen om att modellera PD i BNPL-branschen där begränsad tidigare forskning hittades.

The number of statistical and mathematical credit risk models that financial institutions use and manage due to international and domestic regulatory pressures in recent years has steadily increased. This thesis examines the evolution of model risk management and provides some guidance on how to effectively build and manage different bagging and boosting machine learning techniques for estimating expected credit losses. It examines the pros and cons of these machine learning models and benchmarks them against more conventional models used in practice. It also examines methods for improving their interpretability in order to gain comfort and acceptance from auditors and regulators. To the best of this author’s knowledge, there are no academic publications which review, compare, and provide effective model risk management guidance on these machine learning techniques with the purpose of estimating expected credit losses. This thesis is intended for academics, practitioners, auditors, and regulators working in the model risk management and expected credit loss forecasting space. / Dissertation / Doctor of Philosophy (PhD)

In this paper we will resume the main differences between the application of IFRS 9 «Financial Instruments» to be imperatively implemented in Peru since the commencement of the exercise 2018 with regards to the current IAS 39 «Financial Instruments: Recognition and Measurement», focusing in the classification and measurement of financial assets. Furthermore, a practical analysis will be applied to financial instruments in the investment banking industry. / En este trabajo, se busca sintetizar las principales diferencias en la aplicación de laNIIF 9 «Instrumentos Financieros» a implementarse de forma obligatoria en el Perú desde el inicio del ejercicio 2018 con respecto a la actual NIC 39 «Instrumentos Financieros: Reconocimiento y Medición», específicamente en clasificación y medición de las partidas de activos financieros. Además, se realiza un análisis práctico aplicado a instrumentos financieros del rubro de la banca de inversión. / Neste artigo, retomaremos as principais diferenças entre a aplicação da Normas Internacionais de Relatório Financeiro (IFRS) 9 «Instrumentos Financeiros» a implementar de forma imperativa no Peru desde o início do exercício de 2018 no que se refere ao atual Normas internacionais de contabilidade (IAS) 39 «Instrumentos Financeiros: Reconhecimento e Medição», focado em A classificação e mensuração de ativos financeiros. Além disso, uma análise prática será aplicada aos instrumentos financeiros no setor de banca de investimento.

International Financial Reporting Standards (IFRS) are required or permitted for use in over 100 countries across the world. IFRS are developed by the International Accounting Standards Board (IASB). The IASB, with no formal or legal mandate, is performing a task normally reserved for national standard-setters. This study sought to establish the legitimacy of IFRS by assessing the due process of the IASB. The study established that countries have different motivations for choosing IFRS which raises legitimacy concerns. The global financial crisis compounded the legitimacy challenges of IFRS by exposing due process vulnerabilities. The study established that the IFRS governance structures are dominated by powerful stakeholders especially members of the G-20. Although the due process procedures provide opportunities for participation, actual participation is still dominated by constituents from Europe. Africa and South America still account for very low proportions of governance seats and participants in standard-setting projects. / Financial Accounting / M. Com. (Accounting)

Topic of the master thesis is the Financial Instruments in Bank Accounting. The master thesis looks at bookkeeping and accounting of financial instruments in international financial reporting standards context. The main reporting standards which are discussed in the paper are: IAS 32, IAS 39, IFRS 7 and IFRS 9. In the first part, the reporting standards impact on banks as commercial subjects, legislation of bank operations, financial instruments and accounting in both a national and international context are presented. The focus of master thesis is examined in the second and third sections where financial instruments are discussed in detail and their characteristics, initial recognition, subsequent measurement and accounting are also examined. The next topic is the issue of the reclassification of financial instruments and their impairment is discussed. The forth part of the thesis examines IFRS 7. The standard has claims on the disclosure of financial instruments in both the statement of financial position and statement of comprehensive income. IFRS 7 also has claims on related areas including disclosure of credit, liquidity and market risk. The last part deals with news in the examined area where the main focus is IFRS 9.

International Financial Reporting Standards (IFRS) are required or permitted for use in over 100 countries across the world. IFRS are developed by the International Accounting Standards Board (IASB). The IASB, with no formal or legal mandate, is performing a task normally reserved for national standard-setters. This study sought to establish the legitimacy of IFRS by assessing the due process of the IASB. The study established that countries have different motivations for choosing IFRS which raises legitimacy concerns. The global financial crisis compounded the legitimacy challenges of IFRS by exposing due process vulnerabilities. The study established that the IFRS governance structures are dominated by powerful stakeholders especially members of the G-20. Although the due process procedures provide opportunities for participation, actual participation is still dominated by constituents from Europe. Africa and South America still account for very low proportions of governance seats and participants in standard-setting projects. / Financial Accounting / M. Com. (Accounting)

金融風暴喚起各界改革財務報表未能反映實際虧損的缺失，因此，新版國際財務報導準則第9號及第17號公報應運而生，未來正式接軌後，對於壽險業的財報將產生重大衝擊，更突顯其資產負債管理之重要性，故本研究係採用主成分分析建構極端利率情境，並考量折現率需反映現時狀況下，於資產面分別以攤銷後成本或公允價值衡量、負債面採公允價值評價，欲探討資產負債配置及攤銷後成本比重不同時，利率變動對於壽險公司股東權益波動度之影響，以供壽險業參考。 研究結果發現攤銷後成本比重能夠有效控制股東權益波動度。再者，壽險公司應審慎評估海外投資比例，並配合其壽險商品外幣保單之銷售策略加以布局，同時謹慎考量會計決策，適當選擇攤銷後成本權重，方能有效控制資產負債表之波動。 / The financial crisis has caused wide public concern since it is failed to reflect the actual losses in financial statements. As a result, International Accounting Standards Board (IASB) issued new International Financial Reporting Standards, IFRS 9 and IFRS 17. The surplus of life insurers may fluctuate sharply if assets and liabilities don’t match appropriately under these new IFRS Standards. We follow the international regulation standard by using principal component analysis to generate extreme interest rate shock scenarios. This study examines the volatility of surplus under extreme interest rate shock scenarios for different combinations of liabilities, fair-valued assets, and amortized cost assets. In particular, the assets are measured at amortized cost or fair value, and all liabilities were acquired at fair value approach. In the numerical analysis, we showed that it is one of the most effective methods to control the surplus volatility by adjusting the percentage of amortized cost assets. Furthermore, life insurer should adjust the percentage of foreign investments and insurance policies carefully in order to reduce the fluctuation in shareholders’ equity.

As a response to the financial crisis of 2008 the IASB and the FASB developed IFRS 9 and ASC 326, respectively. These accounting regulations are supposed to increase reporting transparency and promote financial stability by determining the calculation and recognition of loan loss provisions. However, previous literature has brought up concerns that loan loss provisions can negatively impact the lending activity in banks. If that was the case, they would negatively affect the amount of capital available in an economy and thereby threaten financial stability and economic growth especially during times of economic downturns. To shed light on this topic, this thesis investigates the relationship between loan loss provisions and lending activity in banks applying IFRS and US GAAP. The thesis provides practical as well as theoretical implications as it discusses the findings in a practical context and relates it to relevant theories.  The dataset utilized includes empirical data from Q1 2020 until Q4 2022 and covers 330 banks from 38 countries. The data was gathered from Refinitiv´s Eikon database as well as from the International Monetary Fund. It was then statistically analyzed by conducting different kinds of statistical inference. All methods applied are of a quantitative nature and the underlying methodology is positivist. The results of this thesis suggest that loan loss provisions under IFRS 9 are on average higher than under ASC 326. Further, it was found that loan loss provisions under IFRS 9 exhibit a statistically significant negative relationship with lending activity. In contrast, this relationship was found to be insignificant under ASC 326. Together, these findings suggest that higher loan loss provisions have a negative effect on lending activity. It is concluded that the impairment model of IFRS 9 might compromise financial stability by limiting lending activities during times of economic turmoil.  Additionally, due to the increased room for managerial judgment under IFRS 9 it is theorized that the higher loan loss provisions can be the result of earnings management. Loan loss provisions under IFRS 9 could thus be more supported by Agency theory. On the other hand, ASC 326 offers less room for managerial discretion and could be more supported by Stewardship theory. This thesis also suggests topics for potential future research. The knowledge about loan loss provisions and their effects on lending activity could be extended by using different variables in the regression model. Additionally, a longer timeframe as well as other accounting standards could be investigated. Furthermore, the effects of loan loss provisions on loan quality and risk management in banks are in need of further examination. Lastly, the capital requirements of Basel III and their impact on procyclicality should be researched.