A fresh take on risk and valuation
IFRS 9 model validation
Banks in the Middle East
- IFRS 9
- Model validation
- Model input, model design, model performance
- Model implementation
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