The National Monetary Authority was looking to undertake a validation exercise on the IFRS 9 models developed and implemented at local banks. Finalyse has been directly contacted in this respect and selected as a provider to validate the IFRS 9 models for two banks.
Benefits of the provided solution
Quantitative and qualitative validation of the modelling approaches used for PD, LGD, EAD/CCF models as well as for macroeconomic models considering the industry best practices and complying with the regulatory guidelines
Validation of Data, Governance, and Implementation practices.
Risk models replications
Creation of validation reports with findings and improvement recommendations
Support in discussions with the regulator
Key success factors
Expertise of the team in IFRS 9 model development and validation activities
Long track record in credit risk models related projects throughout Europe
Exhaustive validation methodology, that includes review of organization structure, data management, and governance processes.
At ease with the technological component: data, IT infrastructure and programming languages to adapt to each client’s constraints