silhoutte

Overview

The main rationale of the IFRS 9 regulation is that provisions must increase in accordance with actual risk profile of an entity and must adopt a forward-looking approach.

IFRS 9 standard, effective from 1 January 2018, is a significant change for the banks, as its impacts are wide ranging in nature, and it will require significant investment in Modeling, processes, internal controls and systems by the banks.

We have developed a suite of proprietary tools and accelerators to meet the IFRS 9 impairment requirements in each of the above specified areas.

Our approach involves diagnostic study as a first step which culminates into designing of a customised plan for our clients, and execution of the same to achieve the IFRS 9 compliance in cost effective & time bound manner.

We have helped a number of financial institutions to understand the impact of IFRS 9 and how to efficiently implement the required changes. These projects have given our team a detailed understanding of how financial institutions are likely to be affected and the steps that they can take now to help ease transition to IFRS 9.

We have also developed the framework to help the financial institutions in conducting an independent audit of their IFRS 9 initiatives to provide ‘Quality Assurance’ to the senior management & BoD.

Offerings

1. Classification & Management
  • Perform a comprehensive review of financial assets to ensure they are classified and measured properly. Document the classification rules for consistent application.
  • Provide support in upgradation of accounting systems to ensure they can capture information needed for classification & measurement.
  • Develop policies and methodologies along with controls to ensure judgement is exercised consistently throughout the organisation over the period of time.
  • Determine and assess the potential impact of the classification on the requirement of provisions for the financial institutions.
  • Suggest changes to contractual terms, if required or business models in view of classification impact.
2. Credit Loss Estimation
  • Support the financial institutions by defining how the ECL model will be applied to different financial assets and how key terms such as ‘significant increase’ and ‘default’ will be defined in the context of financial assets held.
  • Develop appropriate methodologies and controls for components of ECL model such as PD, LGD, EAD estimation models to ensure judgement is exercised consistently throughout the organisation.
  • Credit Risk Deterioration framework to identify the selection of stage based on the pre-defined criteria/models.
  • Support in setting up the governance framework for all the components of ECL model to ensure robustness of the risk estimates, such as model development/maintenance policy, data management policy, model risk policy etc.
  • Design, implement and test new systems, databases and related internal controls to collect the additional data for developing the models to cater to IFRS 9 requirements i.e. dual requirement of one-year estimates and life time estimates of losses as well as forecasting models for the macroeconomic environment e.g. historical loss data across the portfolios and economic parameters & their forecasts
  • Develop migration matrices or use other methodologies to estimate the life time loss estimates to meet Stage 2 & 3 requirements.
  • Support the financial institutions in Point in Time (PIT) calibration of its PD estimates as required for IFRS 9 compliance.
  • Incorporate the new requirements into capital planning and stress testing to ensure the potential impacts under adverse scenarios are properly understood and addressed.
  • Identify KPIs and management information that will be used to monitor ECLs of different portfolios on an ongoing basis.
  • Support in implementation of IFRS 9 calculation and reporting engine along with specific DataMart for IFRS 9.
  • Support the financial institutions in developing comprehensive strategy to reduce potential volatility of the provisions, e.g. by diversifying products within portfolios to reduce concentrations of credit risk or adjusting maturities of products etc (Read about – IFRS 9 Optimization Offerings)
3. Hedge Accounting
  • Assess whether current hedge accounting documentation provides a sufficient link between individual hedging relationships and the related risk management objective, and document the steps necessary to meet new effectiveness requirements.
  • Assess whether to adopt the new IFRS 9 hedging model or remain with IAS 39 hedge accounting.
  • Determine which newly permissible hedging strategies are in line with current risk management objectives.
4. Disclosure
  • Identify key policies, inputs and assumptions, and design disclosures that meet the requirements of IFRSs and investors/stakeholders.
  • Assess current systems to identify data gaps that need to be filled to meet the new disclosure requirements.
  • Support in implementation of 3rd party IFRS 9 calculation and reporting engine along with specific DataMart for IFRS 9.
Risk Management
Overview Credit Risk Market Risk Operational Risk Liquidity Risk RAROC Data Management
Regulatory Compliance
Overview Basel II Basel III IFRS 9 FRTB Stress Testing
Risk Analytics
Overview Corporate Risk Modeling Retail Risk Modeling Model Monitoring Service Economic Capital Modeling Market Risk Analytics Operational Risk Analytics
Customer Life Cycle
Overview Portfolio Segmentation Campaign Management Cross Sell/Up Sell Customer Retention Collection Analytics
Advanced Analytics
Machine Learning Fraud Analytics