Redeveloping every IFRS 9 model across two portfolios
A UK lender engaged us to redevelop every model in its IFRS 9 ECL suite after the team that built it had gone.
Supervisory feedback landed on an ECL suite the lender could no longer explain: the team that built it had gone.
What We Provided
A mortgage model that ranks on the lender’s own borrowers
The mortgage PD model was rebuilt on internal data in place of purchased rating-agency data, lifting discrimination materially, and SICR thresholds were redefined against the point of optimal discrimination rather than inherited.
A forward-looking view that answers the feedback directly
The macroeconomic model was rebuilt in full on data we sourced ourselves, with a new process for projecting upside and downside scenarios, so the lender can show where its scenarios come from.
The assumptions that drive the answer, reopened
LGD models were refreshed against several challenger approaches and alternative curve forms, and the mortgage sub-component assumptions that move the number most, time to sale and probability of possession, were reopened.
Into production without a rewrite, and someone to answer the auditors
The new models went into the existing codebase, so the production cycle absorbed them. One of our consultants held the point of contact through the audit, which concluded successfully.
The Results
Second line approved every model across both portfolios on the strength of the documentation, and the implementation went in without incident. Monitoring went live alongside the new models and has since become a further engagement.
Other Case Studies
Independent validation of a Pillar 2A concentration add-on
A European bank needed to know that the capital it holds against concentrated lending would stand up to scrutiny, so it asked us for an independent view of the model behind the number.
Redeveloping every IFRS 9 model across two portfolios
A UK lender needed every model in its IFRS 9 expected credit loss suite rebuilt, at the point when the team that had built them was no longer there.