End-to-end Capital and Impairment modelling with governance expertise
Capital and Impairment Risk Advisory
Experienced capital, impairment and regulatory professionals
Leveraging our extensive expertise in IFRS 9, CRR, and Basel III, we offer specialised consulting services designed to support financial institutions in achieving regulatory compliance, optimising risk management, and enhancing overall financial stability. Our team specialises in model development and validation, regulatory compliance, and governance frameworks, ensuring that institutions are prepared to meet regulatory requirements and manage risks effectively.
Our services encompass a broad range of areas:
IFRS 9
We provide comprehensive support in designing and developing Expected Credit Loss (ECL) models, conducting independent model validation, and establishing robust governance frameworks. Our services ensure compliance with IFRS 9 standards, facilitating accurate financial reporting and effective risk management.
Internal Ratings-Based (IRB) Approach
Our IRB services include feasibility and cost-benefit assessments to evaluate the transition from the Standardised Approach, development of IRB models for credit risk assessment, and assistance with regulatory compliance and approval processes. We ensure alignment with Basel III and CRR requirements, helping firms optimise their capital management strategies.
Standardised Approach
We assist firms in transitioning to the Standardised Approach for credit risk, ensuring compliance with CRR and Basel III regulations. Our services include accurate risk weight calculations, policy and framework development, and comprehensive risk management solutions.
Model Risk Management (MRM)
We develop and implement model risk management frameworks, identify and assess model risks, and provide mitigation strategies. Our services ensure adherence to regulatory guidelines, such as those outlined by the Prudential Regulation Authority (PRA), Supervisory Statement SS 1/23, enhancing the robustness and reliability of risk models.
By tailoring our services to the specific needs of our clients, we leverage our deep knowledge and experience to deliver robust and reliable solutions, ensuring your institution is well-prepared to meet regulatory requirements and manage risks effectively.
How We Can Help
IFRS 9
- Model Development: Design and develop ECL models, including PD, EAD, LGD, forward-looking, and SICR components
- Model Validation: Independent validation of IFRS 9 models for compliance and accuracy
- Ongoing Model Monitoring: Implement processes for continuous monitoring of model performance
- Governance Frameworks: Establish robust governance frameworks for ongoing model management and reporting
- Reporting: Support in preparing and submitting MI and financial statements related to IFRS 9
- Audit Support: Provide support during internal and external audits
Internal Ratings Based (IRB) Approach
- IRB Feasibility and Cost-Benefit Assessment: Evaluate the transition from the Standardised to IRB Approach, assessing costs, benefits, and regulatory impacts
- IRB Model Development
- Credit Risk Models: Create and implement IRB models for assessing credit risk
- Risk Parameter Estimation: Estimate and validate key risk parameters such as PD , LGD, and EAD
- Regulatory Compliance: Assist in meeting regulatory requirements and obtaining IRB approval
- Model Validation and Review
- Independent Validation: Independent validation of IRB models to meet regulatory standards
- Model Governance: Develop governance frameworks for the modelling process
- IRB Application Support: Prepare and submit IRB approval applications , ensuring regulatory compliance
Standardised
Approach
- Implementation Support
- Guide firms through the transition to the standardised approach for credit risk, ensuring a smooth and compliant process.
- Accurately calculate risk weights for various asset classes, ensuring compliance with CRR and Basel III standards.
- Policy and Framework Development
- Develop and implement robust policies and procedures tailored to the standardised approach requirements
- Design comprehensive risk management frameworks that align with CRR and standardised approach guidelines, enhancing overall risk governance
Model Risk Management (MRM)
- Model Risk Frameworks
- Development and Implementation: Create comprehensive model risk management frameworks tailored to the firm’s needs
- Policy Development: Develop policies and procedures for model risk management
- Governance Structures: Establish governance structures to oversee model risk management activities
- Model Risk Assessment
- Risk Identification: Identify and assess risks associated with the use of models
- Mitigation Strategies: Develop strategies to mitigate identified model risks
- Audit Support: Provide support during internal and external audits of model risk management practices
Our Resources
PRA Dear CFO Letter – IFRS 9 ECL
Broadstone’s insights paper explores the PRA’s recent “Dear CFO” letter, offering valuable insights for refining IFRS 9 Expected Credit Loss (ECL) practices, and discusses the key takeaways for banks and building societies to consider.
