Financial Risk
Credit Risk & IFRS 9
Credit risk modelling across the full IFRS 9 stack — through-the-cycle and point-in-time PDs, downturn LGDs, EAD conversion factors, staging rules, and expected credit loss engines that hold up in audit and stress testing.
Outcomes you can expect
- IFRS 9 ECL numbers that reconcile cleanly to the balance sheet
- PD, LGD, and EAD models with documented calibration and backtests
- A staging and forward-looking overlay framework that survives scrutiny
Typical engagements
- Through-the-cycle and point-in-time PD calibration
- Downturn LGD and EAD conversion factor modelling
- Staging rules and significant-increase-in-credit-risk logic
- Forward-looking macroeconomic overlays and scenario weighting
Related reading
IFRS 9 PD Calibration: TTC vs PIT
IFRS 9 asks for a forward-looking, point-in-time PD. Regulatory capital asks for a stable, through-the-cycle one. Most banks have both, and reconciling them is where the real work lives.
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Data & AI
AI & Quantitative Risk Models
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