An IFRS 9 expected credit loss model is usually one analyst’s spreadsheet: judgment calls made once, never written down, and rebuilt from scratch every reporting cycle. Ours is a staged, governed methodology instead, from the definition of default to disclosure-ready reporting.
Most IFRS 9 ECL models live in one analyst’s workbook: the definition of default, the observation window, the cure policy, decided once and never written down anywhere else. Data gaps get quietly treated as zero. A small portfolio gets forced into a calibration it cannot statistically support. Macroeconomic variables get chosen by testing combinations until one fits, with no check for how easy that is to do by chance.
We built the layer that turns that into a documented, staged methodology instead: every governance decision recorded with its rationale, every economic relationship tested before it is trusted, and every final figure traceable back to the assumption it came from.
Two stages, run as one pipeline. Model the risk builds the parameters; Calculate & Govern turns them into a defensible number.
Definition of default, observation window and cure policy are agreed and documented before a single number is calculated, not assumed along the way.
Historical migration and default behaviour are converted into probability-of-default, loss-given-default and exposure parameters, by risk grade.
Macroeconomic variables are tested for a genuine statistical relationship to default behaviour, not just the best-fitting combination, then weighted into best, base and worst-case scenarios.
Every exposure is classified by stage and its risk parameters extended across its full remaining life, not just the next twelve months.
Probability, exposure, severity and discounting combine into the expected credit loss figure, weighted across every economic scenario.
Every judgment call is documented and every figure ties back to a control total, so the model is ready for an auditor before one ever asks.
The problem, the way it’s handled today, and what changes once the ECL Model is running.