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Abstract
The objective of this article is to analyze the effects on the calculation of expected losses due to the impact of covid-19 on the credit risk impairment model according to IFRS 9, for financial assets valued at amortized cost by companies in the real sector. The model, based on the Monte Carlo and International Scoring, Fair Isaac and Company (FICO) methodologies, is applicable to any region. A credit risk rating was obtained for each sector by comparing actual financial information with estimates. The deviation between the probability of risk calculated without the pandemic effect and the actual post-pandemic results was analyzed. The results showed adverse effects on the risk rating for some sectors.
The implications of the study guide the formulation of risk management policies, the adaptation of accounting practices in crisis contexts, and the development of predictive models for future studies and analysis of disruptive events.
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