Anticipating and benchmarking variance in IFRS9 expected credit losses

As institutions start reporting provisions and allowances under IFRS 9, risk management teams are seeking to provide increased and improved measurement to anticipate variability and uncertainty levels around expected credit losses. One methodology is to design their model overlay with a view to manage macroeconomic forecast uncertainty and model risks.

In this paper, we will discuss:

Alignment of macroeconomic outlook with risk appetite statement

Managing the evolution of macroeconomic assumptions

Anticipating and benchmarking the variance of IFRS 9 expected credit losses