IFRS 9
Over 40 lenders have entrusted Jaywing to help them achieve their IFRS 9 modelling and compliance objectives, whether that be with the development, validation, monitoring, forecasting/stress testing or deployment of their models.
As of 1st January 2018, IFRS 9 became the mandatory accounting standard for most lenders
IFRS 9 is an accounting standard for financial institutions that presents significant modelling challenges to those lenders that report within it. Despite the elapsed time since the embedment of these standards, our clients continue to grapple with the more complex concepts such as modelling the forward-looking environment and quantifying significant increase in credit risk. All of this is compounded by more rigorous external audit processes and ramping up of governance expectations.
Developing the necessary models requires a lot of experienced and expert resources. Which is why we’ve created two ways to access ours. We offer teams of highly skilled mathematicians with a wealth of knowledge in consultancy-led delivery, or advanced software with a proven methodology for creating accurate models with consultancy support throughout implementation.
We've helped over a dozen lenders implement the IFRS 9 standard and have refined our techniques through time
Jaywing can support with your IFRS 9 model implementation needs with experience across multiple platforms using a variety of programming languages including SAS, SQL, Python and R. We also have our own IFRS 9 model deployment platform, Horizon.
Whether its building models from first principles or enhancing existing models we always employ industry standard approaches that are commensurate to our client’s size and ambitions.
Our approach is based upon estimating IFRS 9 ECLs using the standard components of PD, EAD and LGD, with the application of discounting and compliant stage allocation applied.
As model experts with deep experience of credit risk and financial models, we are regularly nominated by our clients to validate their models, often in a 2nd line capacity to fulfil their specific model risk and governance requirements.
Whether it be a for a one-off engagement or one of our many long-term validation partnerships, reviewing a model development or as part of an ongoing periodic validation, we either adopt our client’s model governance policies or deploy our own set of standards fine-tuned after working across multiple model validation projects.
Our IFRS 9 model monitoring platform
Jaywing's model monitoring tool, Horizon, enables you to separate out the effects of model error and forecast error, producing a comprehensive set of reports that get you ahead of your auditors, and able to spot weaknesses in your model performance before your financial year end.
“Jaywing has already proven to us through our existing partnership that they are industry-leading modelling, forecasting and regulatory experts. It was only natural to ask them to support us with the challenge of developing IFRS 9 stress testing models for our ICAAP. Once again, they surpassed our expectations. Through a flexible collaboration with our internal teams coupled with a can-do attitude they supported the development of a modelling framework with the right balance of complexity and pragmatism to ensure we achieved our objectives within the set timeframes.”
Jaywing brings a wealth of IFRS 9 experience and combines excellent modelling credentials with extensive industry knowledge. Their development of high-quality ECL models within tight timescales means that we are well placed to achieve IFRS 9 compliance within our project timescales.
Horizon, our Model Deployment platform
Horizon is our flexible and fully transparent IFRS 9 deployment platform that enables our clients to securely execute their bespoke IFRS 9 models. We also support our clients to implement their models onto other platforms.
Find out moreHow can Jaywing help?
Jaywing specialise in assisting banks with implementing, practical, proportionate, and fit for purpose risk management frameworks. Our consultants, many of which have a blend of banking and consulting experience, assist banks at all stages of their organisational development, to refine and improve Governance, Capital & Liquidity Management and Stress Testing frameworks. If you would like to speak to one of our experts please contact us.