IFRS 9 / Credit Risk Modelling

Client Benefits & Main Results

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 teams 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

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