IFRS 9 ECL modeling and validation

IFRS 9 (International Financial Reporting Standards 9) defines requirements for the classification, evaluation and description of financial assets, as well as accounting for their impairment. It also introduces the risk-sensitive ECL (Expected Credit Loss) calculation logic to determine the group impairment.

ITCB (Bankárképző) has everything necessary for the success of the project!
Entrust the development to experts and skip the unnecessary rounds!

If you would like to improve the accounting of your financial assets according to IFRS or your current impairment training system, ask for an offer! We can help our customers in any of the priority areas below as well as in the entire regulatory system covered by IFRS9!


Design or development of predictive scoring systems

Based on the behavioral scoring systems successfully applied in the industry, we will create a well-functioning behavioral scoring model for the Bank's portfolio, which is able to rate the Bank's entire portfolio on a monthly basis, classifying the good and bad portfolio segments. We integrate this into the IFRS9 calculation, ensuring the predictive nature of the ECL calculation. Does all this even have to be included in the risk management policy system? No problem! We also help with integration into internal procedures!

Creation or development of IFRS 9 PD calculation

The IFRS9 regulation provides a definition of the PIT (Point-in-time) predictive model corresponding to the macro situation in its regulatory framework. In addition, it also requires the development of a model of lifetime PD. Accordingly, during the development of the IFRS9 PD models, we define the lifetime PD model covering the next 12 months and the remaining period until closing, for which a macro model with the appropriate depth for the bank or we also associate a macro forecast.

Some possible solutions from ITCB (Bankárképző):

  • survival analysis to determine lifetime PD

  • macro model parameterization

  • creation and weighting of macroscenarios



Everything is ready, but is it necessary to review the performance of the implemented models with an external party? The ITCB (Bankárképző) undertakes individual or annual revisions of the models and makes proposals for possible correction of the parameters. During the validation, we prepare a review document that presents the reason and extent of the modifications found to be necessary, taking into account the default events affecting the Bank's portfolio that have occurred in the past year.



The completed model is handed over in a manner appropriate to the Bank's complexity, from Excel to system parameterization or implementation in the form of SQL code. We support integration into the bank's internal systems and developer testing. You can also rely on us when connecting to internal systems!

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If you are interested in a particular area, contact the head of our consulting business!

Béla Öcsi
Béla ÖcsiCEObocsi@itcb.hu

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