US GAAP Collective Provisions Calculations

Client Needs & Objectives

This credential is representative of our experience in US GAAP collective provisions modelling. During this assignment, we intervened for an international Banking group in order to challenge and implement its collective provisions model.

  • Context: A 2-month assignment involving implementation for the US CIB portfolio of an EL model to estimate US GAAP collective provisions
  • Client: A top European bank

Our approach

Anticipating the Accounting Standard Update for credit losses from the FASB, an « Expected Credit Losses » model  has been implemented in order to estimate portfolio collective provisions.

Our approach was the following:

  • Diagnostic of the current model
  • Challenge and upgrade of the model
  • Benchmarking, Sensitivity analysis and scenarios testing
  • Writing of the model documentation in agreement with the FED expectations

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