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IFRS9 Model Review
- Client: Growing Lender
- Project Length: 1 Week
- Personnel: Principal + Analyst Team
Background
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
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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