Over the last 12 months our team has completed an overall assessment and validation framework to develop Probabilities of Default and Loss Given Default models. We have developed a proprietary calculator that allows us to calculate stage 1, 2 and 3 IFRS 9 calculations with complete data validation and correction tools, audit trails and a suite of reporting tools.
We have developed a forward looking Probability of Default term structure for the South African Market and developed a high level of expertise in the requirements of IFRS 9 and its implementation including being an many assessment teams to assess corporate readiness. Our team has completed several credit risks and IFRS 9 projects, many of these as a sub-contractor for our larger business partners
Specific clients and projects have included:
- Implementation of complete IFRS 9 solutions for two banking institutions, an SME and large corporate portfolio.
- Validated SME and large corporate probabilities of default and loss given default models.
- Worked with South African local governments on PD and LGD models.
- Validated the implementation of IFRS 9 implementations for Tier 2 banks.
- Benchmarking of IFRS 9 outcomes developed by third party vendors.
- Development of an IFRS 9 framework for Fintech companies.
- Developed simplified IFRS 9 solutions for corporate trade receivables portfolios.
- Developed and assisted with the implementation of the IFRS 9 solution for the Standard Corporate & Investment Bank.
- Developed a support offering to institutions with the documentation of their IFRS 9 solutions and audit readiness, including expert IFRS 9 subject matter audit support.
