Client Benefits & Main Results
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
