The new financial instruments standard IFRS 9 becomes effective as of 1 January 2018, and estimating expected credit losses (ECL) is perhaps the single most significant change in banks’ financial reporting. On the other hand, the EBA stress test 2018 approaches and new challenges regarding the integration of IFRS 9 and capital requirements appear.
KPMG has developed a kick starter credit stress testing tool and IFRS ECL calculator to help financial institutions cope with both the new IFRS 9 provisions and the upcoming regulatory stress testing exercises. Discover how the tool can be developed together with you.
Click-and-go interface with full integration of several scenarios, where the user can chose among different modelling approaches, time horizons and macroeconomic scenarios. The tool currently supports various PIT models for PD, migrations, LGD, cures and prepayments forecasting.
All models and experts approaches c be defined for different portfolios, or any combination of variables existing in the database. In the example below, different PIT migration models are implemented for both the corp and the bank’s portfolios. However, models can be applied at any level of granularity.
While models and scenarios can be defined at any level (full portfolio vs. sectors, countries, etc.), calculations are completed line by line. The evolution of each parameter (exposure, PD, LGD, PR, Stage) is stored and transmitted. This provides a complete analysis of the results to understand the main drivers. This allows you to produce more transparent disclosures. Reporting completed at any level of granularity: portfolio vs. sub-portfolio/individual view. The tool can easily be integrated with your bank’s existing reporting architecture.