How We Work
Our Modeling Process
A streamlined, transparent quantitative process designed to deliver accurate IFRS 9 ECL valuations within your regulatory timeline.
Scoping & Data Collection
1–2 weeksWe begin by understanding your portfolio structure, historical default data, and reporting requirements. We provide a clear data request template for loan tapes and macroeconomic indicators.
- Initial consultation to understand portfolios
- Standardised data request for loan tapes
- Data quality checks and gap analysis
- Timeline and deliverables agreed
Methodology & Assumption Setting
1–2 weeksOur risk modelers select and document appropriate PD, LGD, and EAD frameworks based on portfolio characteristics, data availability, and regulatory requirements.
- PD curve derivation and smoothing
- LGD collateral haircut analysis
- EAD and CCF parameterization
- Methodology memo for auditor review
Macroeconomic Scenarios & Overlays
1 weekWe incorporate forward-looking information (FLI) by defining macroeconomic scenarios, assigning probability weights, and applying management overlays.
- Macroeconomic variable correlation testing
- Base, Optimistic, and Pessimistic scenarios
- Probability weighting determination
- Management overlay justification
Quantitative ECL Modeling
2–3 weeksUsing the established methodology, we calculate the Expected Credit Loss for each facility, assessing Significant Increase in Credit Risk (SICR) for stage allocation.
- Facility-level ECL calculation
- SICR assessment and staging (Stage 1, 2, 3)
- Lifetime vs 12-month ECL computation
- Model back-testing and validation
Report & Disclosure Schedules
1 weekWe prepare comprehensive valuation reports and audit-ready IFRS 9 disclosure schedules that meet all central bank and accounting standards.
- Full valuation report with methodology
- ECL allowance reconciliation
- Stage movement analysis
- Sensitivity analysis on key drivers
Audit Support & Sign-off
OngoingWe work directly with your auditors and regulators to address queries, explain our quantitative methodology, and ensure smooth sign-off.
- Direct communication with auditors
- Assumption justification support
- Methodology clarification
- Amendments and revisions as needed
Typical Turnaround: 4–8 Weeks
Depending on portfolio complexity and data readiness, our expert team builds, validates, and deploys full ECL models efficiently.