IFRS 9 PD-Profiles / LEL

IFRS 9 mandates that for underperforming loans there is a lifetime expected credit loss provision

  • Challenge: Systematic assessment of forward-looking PD across portfolios
  • Our solutionCreditDynamix® gives statistically proven valid forecasts that form the key ingredient of lifetime expected loss (LEL) forecasts

 

Advantage of CreditDynamix® Approach: CreditDynamix allows for an automated PD-forecast differentiated by country, industry and individual counterparty characteristics. It provides full consistency across portfolios and scenarios. Only this approach will ensure credit loss forecasts that are comparable across portfolios and in particular different applications such as IFRS 9 and regulatory stress tests. A high degree of automation allows for efficient resource allocation in credit and finance departments despite increased regulatory and accounting demands.

The CreditDynamix®-screenshots below show differentiated PD profiles for the whole economy (*ALL*) and  exemplary industries over a 10y time horizon. A baseline and a cyclical macro economic scenario  are compared. Such aggregated PD profiles are based on bottom-up PD profile calculations for all underlying companies.

 

Visualizer_DE_4PD_10years