IFRS9 Implementation & Impact Assessments

Client Needs & Objectives

This experience is very representative of our core business: building of risk or financial models. In the present, strategic and long-term mission, the objective was to adapt the former models to IRFS9 requirements and to define a methodology for standard models.

  • Context: A 6-month mission within the risk model team (including 2 people full-time)
  • Client: A Car company bank

Our Approach

As part of a strategic program of moving to the IFRS9 accounting standards for the calculation of provisions for the group, CH&Co has been selected notably for:

  • Build the IFRS9 credit risk models (DP, ELBLE, EAD, CCF) for all the entities (22 countries)
  • Document all the models
  • Adapt/correct/clean source data
  • Suggest methodological solutions for not IRBA approved portfolios
  • Suggest solutions for the forward looking approach
  • Simulate impacts of IFRS9 provisions in terms of amount and coverage rates for portfolios and buckets
  • Study sensitivity of models to risk parameters movements

Main Deliverables

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