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Lender Support

IFRS9 Model Review

  • Client: Growing Lender
  • Project Length: 1 Week
  • Personnel: Principal + Analyst Team


Completing an independent review of business critical models, such as the IFRS9 model, was of vital importance for this client. Vestigo were engaged to provide the required examination and challenge to ensure the model was robust and appropriate for the task

Due to the infancy of the book and associated lack of observable outcome, Vestigo completed the assessment of the implemented model and any supporting documentation

The findings were summarised into a short report, categorised by their materiality of estimated impact on the reported Expected Credit Loss figures

CS IFRS9 Model Review 1

Model Review

The alignment of model documentation with the mechanics deployed within the IFRS9 model was assessed for accuracy and consistency across all the core components

Model logic was validated to ensure it was working as intended, sizing any errors. Model behaviour for non-standard customers was also challenged to ensure the results of ‘edge cases’ still made analytical sense

Commentary was provided on the methodology used to forecast each model component. The level of model complexity was also assessed versus the scale of the business, and ease of implementation/monitoring

As a regulatory reported figure, it is vital for the business that the IFRS9 calculation is executed in a controlled way. The Vestigo assessment gave the client comfort that results were calculated accurately and robustly

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