A fresh take on risk and valuation
IFRS 9 framework and Target Operating model
• IFRS 9 impairment model
• IFRS 9 Expected Loss calculations
• Risk related dashboards
• Model performance metrics
With the adoption of the IFRS 9 standard for financial instruments, the client needed to comply with the rules addressing (1) the new classification and measurement methods of financial instruments and (2) the new impairment rules based on the estimates of expected credit losses.
Finalyse has been approached to:
- provide an analysis of the calculation requirements by portfolio using different methodologies
- design the operational processes and flowcharts for the different risk parameters
- build the ECL calculator and reports
Therefore setting up a full framework allowing for the successful implementation of the new accounting standards for the impairment process compliant with IFRS 9.
The impairment calculation model has been audited and validated since.
Benefits of the provided solution
- Recommended modelling approaches for the point-in-time estimates of the credit parameters (PD and EAD in particular)
- Provision of Expected Credit Loss (ECL) calculations of different sophistication levels based on the data available
- Analysis and proposal of a Target Operating Model for an IFRS 9 Go Live process
Key success factors
- Sound expertise and competences of the Finalyse senior resources on credit risk advanced models
- Creation and usage of structured databases creating a single source of truth for data originating from multiple portfolios with different services reports
- Good communication with the different stakeholders and end-users
- Flexibility in the approaches