IFRS 9 a Trisigma Analytica solution
Expected credit loss (ECL) calculation: impairment stages, PD, LGD and EAD models, macro scenarios and reporting disclosures.
IFRS 9
The solution calculates expected credit losses under IFRS 9 for the whole portfolio: it assigns assets to stages, applies PD, LGD and EAD models and takes macroeconomic scenarios into account. The calculation is reproducible: every provision figure can be traced to a contract, a model and an assumption.
What the solution covers
Impairment stages
Criteria for a significant increase in credit risk: days past due, restructuring, rating changes. Transitions between stages are kept in the history.
PD models
Twelve-month and lifetime probability of default by portfolio segment, based on migration matrices or scoring models.
LGD and EAD
Loss given default with collateral and recoveries. Exposure at default with the repayment schedule and undrawn limits.
Macro scenarios
Base, upside and downside scenarios with weights. The link between macro indicators and default probability is documented.
Individual assessment
Large borrowers are assessed one by one: cash-flow scenarios, collateral realisation and expert adjustments with a rationale.
Reporting and disclosures
Movement in the provision over the period, disclosure tables and a calculation log the auditor can use to check every figure.
- Banks and microfinance organisations that report under IFRS
- Leasing and factoring companies
- Chief financial officers and risk functions
- Companies whose provisioning is reviewed by an external auditor
- The provision is calculated automatically at every reporting date.
- The auditor receives the calculation with a breakdown down to the single contract.
- A change in the provision can be explained: what came from the portfolio, the models and the scenarios.
- The same model parameters are reused in stress tests.
Related solutions
Risk and Capital Management
Credit, market and operational risk in one view, capital allocation and limits.
details →Lending
Scoring, credit rating and decision rules for applications, from the form to borrower monitoring.
details →Financial and Regulatory Reporting
Automated management, financial and regulatory reporting from a single data source.
details →Common questions
How does work start?
With a free 30-minute call with a solution architect. We go through the problem and suggest where to start. If it needs a closer look, we propose a 2–4 week diagnostic.
Which countries do you work in?
Our office is in Bishkek. We work with companies across Central Asia, on site and remotely.
What language are documentation and training in?
Russian and English. Methodology, manuals and reports are written in the language that suits your team, auditors and shareholders.
Do you sign an NDA?
Yes, before you share any data or documents with us.