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.
Background reading on this work: IFRS 9 PD Calibration: TTC vs PIT and LGD & EAD Validation: Common Pitfalls.
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
Insights articles that go deeper on credit risk & ifrs 9.
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.
Read the articleLGD & EAD Validation: Common Pitfalls
PDs get the attention, but LGD and EAD errors quietly move ECL and RWA more than most banks realise. This is where independent validation actually earns its fee.
Read the articleCredit Risk Model Monitoring Dashboard
Ongoing monitoring is where credit models earn their validation. A concise dashboard covering discrimination, calibration, stability, and overrides catches drift before it becomes a finding.
Read the articleIFRS 9 Model Validation in Practice
Most IFRS 9 validation effort goes into re-checking the components. The risk concentrates in staging, scenario weights and the overlays nobody owns.
Read the article