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IFRS9 Backtesting
IFRS 9 became mandatory as of January 2018. This means that financial institutions (FI) now have four full years of historical data on IFRS 9 reporting numbers available. One of the key aspects of
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A comprehensive guide to Credit Rating Modelling
For all the criticism that rating models and credit rating agencies have had through the years, they are still the most pragmatic and realistic approach for assessing default risk for your
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Rating model calibration methodology
During the development of these models an important step is the calibration of the parameters to ensure a good model performance. In order to maintain these models a regular re-calibration
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ECL calculation methodology
INTRODUCTION The IFRS 9 accounting standard has been effective since 2018 and affects both financial institutions and corporates. Although the IFRS 9 standards are principle-based and
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Exploring IFRS 9 Best Practices: Insights from Leading European Banks
Across the whole of Europe, banks apply different techniques to model their IFRS9 Expected Credit Losses on a best estimate basis. The diverse spectrum of modelling techniques raises the
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Hedge accounting changes under IFRS 9
Cross-currency interest rate swaps (CC-IRS), options, FX forwards and commodity trades are just a few examples of financial instruments which will be affected by the upcoming changes. The time
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Six years after the introduction of IFRS 9: Where do we stand?
We touch upon the main difficulties experienced by financial institutions in the Netherlands based on a combination of project experience, results of a survey, main attention points from
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The forward-looking provisions of IFRS 9
Most banks are struggling to work out how to implement the new impairment rules. Uncertainty over how to deal with current expected credit loss taking into account future macroeconomic
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Roundtable ‘Climate Scenario Design & Stress Testing’ recap
On Thursday 15 June 2023, Zanders hosted a roundtable on ‘Climate Scenario Design & Stress Testing’. In our head office in Utrecht, we welcomed risk managers from several Dutch banks.
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