IFRS 9 model validation

Client

Banks in the Middle East

Keywords

• IFRS 9
• ECL
• Model validation
• Model input, model design, model performance
• Model implementation

Context

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