IFRS9 Impairment Management Solutions

Document created by Makenna.Brei on Aug 2, 2017Last modified by neillcrossley@fico.com on Sep 8, 2017
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FICO's IFRS 9 Impairment Management Solutions are built using our leading optimization technology

Our complete solution includes:

  • Industry-leading predictive modeling for loss forecasting
  • Software for high-speed model execution and loss reporting, with What-if exploration, and end-to- end process governance and transparency
  • Consulting from advisors with extensive domain and analytics expertise. As an added value, the solution is a framework for leveraging the earlier loss visibility you gain from the new forecasting methods to drive business performance improvements that optimize capital efficiency for higher return on assets.

Key Components:

Predictive Modeling

Software Solutions

Expert Consulting

FICO can develop all the models required for meeting IFRS 9 impairment requirements, including helping you define rules for classifying accounts into Stages 1, 2 and 3, and determining when they move between the first two stages.  In most cases, we start Expected Loss (EL) modeling by building component models for Probability of Default (PD), Exposure at Default (EAD) and Loss Given Default (LGD), or we adapt existing models of Internal Ratings Based systems.

We deliver the models in a complete data processing, calculation, decisioning, reporting and governance engine, tuned to your requirements and fully configurable as your needs change. This engine is built on an industrial strength software platform with proven performance in data-intensive, massively scaled projects. It automates the execution of all models, generating and publishing loss forecasts according to your data output and reporting

parameters.

FICO will efficiently assess what you need for IFRS 9 compliance. We’ll create a detailed road map, including a development plan for all models and their inputs; project timeline, resources and costs; and guidelines for Risk/ Finance cooperation and ownership. Since the IFRS 9 standard leaves most of the “how” up to interpretation, we’ll help you arrive at clear definitions and establish best practices that will deliver reliable, repeatable results.

 

The FICO IFRS 9 Impairment Management Solution simplifies and accelerates the compliance process from end to end.

Our high-performance IFRS 9 engine ingests vast amounts of diverse data as well as other customer information. It rapidly classifies accounts as Stage 1, 2 or 3, then forecasts Expected Loss (EL) by calculating Probability of Default (PD), Exposure at Default (EAD) and Loss Given Default (LGD) according to your chosen scenarios and probabilities for macro-economic, market and portfolio change. Using interactive tools, you can explore and adjust classification rules, scenarios and probabilities, as well as the underlying models, to assess the impact on EL. Once the forecast has been signed off on, generating financial reports is push-button easy. The entire process is transparent, documented and explainable—with drill down to the code level and unbroken lineage from raw data to published financials.

 

Key Features:

  • Industry-leading predictive analytics and deep domain and loss forecasting experience
  • Proven high-performance software platform for estimating losses from diverse data and multiple models
  • Integrated simulation tool for exploring and comparing “What-if” scenarios to understand key drivers, sensitivities and volatilities
  • Comprehensive governance of participants, roles and actions
  • Process transparency, with audit trail capturing all steps, plus drill down into individual accounts for detailed confirmations

 

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