IFRS 9 / Credit Risk Modelling

Client Needs & Objectives

This assignment is representative of our competences developed around the creation and validation of models of Basel and IFRS 9 parameters on diverse portfolios, from scratch to the approval from the regulator.

  • Context: A 2-year project in close relationship with the modelling credit risk department of the institution
  • Client: A large French retail bank within which we worked with┬áteams in charge of the approval of the models by the ECB JST

Our Approach

Complete project (quantitative and qualitative) which required a global view of the credit risk and full understanding of the Basel and IFRS 9 subjects:

  • Validation of models on several portfolios including Retail in France and abroad, SME banking and large Corporate.
  • Analysis of the EL models for the adjustment of provisions
  • Modelling of the Basel parameters on the portfolios mentioned above.
  • Accompany the bank during the approval process of its models

Main Deliverables