Smart About Risk  
IFRS 9

Impairments under IFRS 9

IFRS 9 defines new requirements on accounting for financial instruments. The requirements are changing selected parts of the original standard IAS 39. The IFRS 9 introduces a number of changes and new duties, especially for banks, as (apart from other changes) it changes the process of recognition of credit losses.

Advanced Risk Management, s.r.o., has a long term experience with the area of credit risk that is closely related to impairments. ARM would like to offer you its services regarding:

ARM offers seminars in the area of IFRS 9 and credit risk in the form of open, as well as in-house seminars.

 

Database

  • specification of requirements for data collection and database
  • verification of the data preparation process
  • control of the accuracy and relevance of the database
  • data cleaning
  • analysis of the bank's client portfolio
  • extracting of usable information

Methodology for impairments calculation

  • classification of exposures and creation of rules for the assignment of exposures to stages 1, 2, 3
  • utilization of existing models
  • creation of models for calculation of PD and LGD, or a model based on so called “loss rates“
  • calculation of ECL in a horizon of 12 months by using the Loss Rate Method or the PD/LGD Method
  • calculation of ECL in a lifetime horizon
  • consideration of future development in the terms of impairments calculation (forward-looking approach)  

Implementation of IFRS 9

  • estimation of the impact of IFRS 9 implementation on the bank’s financial position and capital adequacy
  • definition of roles and responsibilities
  • proposal of the internal reporting process including the structure of reported information
  • creation of model validation rules