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25

May, 2016

Crystal Gazing – Estimating Lifetime PDs

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In our earlier blog, we discussed PD terminology and PD calibration approaches as applicable to the IFRS 9 framework. IFRS 9 has mandated computation of Impairment Losses, approach for which has been discussed in our 6th blog post. For computation of Expected Credit Loss (ECL), IASB expects organizations to consider forward looking information including macroeconomic factors that are relevant to the exposure being evaluated and that must go beyond historical and current available data. BCBS strongly endorsed this requirement in its paper published on 18th December 2015 (Please refer to our white paper around BCBS Guidelines […]

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22

Feb, 2016

Building Blocks of Impairment Modeling

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As highlighted in our previous post, one of the key areas of focus pertaining to IFRS 9 principles is credit risk modeling, which is required for appropriate estimations of Expected Credit Loss (ECL). In this post we will discuss the key components of Impairment Modeling, which will call for significant attention of the Banks’ management to ensure a successful implementation.

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