Client: Local Bank
Mission: IFRS9 impairment modelling
For a local bank a full set of IFRS9 impairment models were developed. The models rely on existing IRB models and macroeconomic dependent models for long-term forecasting were introduced in order to comply with the regulations related to impairment modelling. An automated scenario builder generates macro-economic forecasts for various horizons. These scenarios – after finetuning by economists – form input for the models.
The team consisted partially of Bank’s resources in order to utilise knowledge and experience of incumbent models and data and to enable seamless handover. The models were finally handed over to the IT department for implementation. After testing and validating – by an independent validator – the models were confirmed to be fully compliant.