Introduction
In the course of the IFRS9 definition and implementation phase, a global bank required insights on the impact of the (new) IFRS9 regulation on its capital weighted assets (RWA). CubeMatch professionals were responsible for the management, definition and implementation of the approach and measurement solution.
CubeMatch Deliverables
- An overall strategy that provided an approach and integrated deployment plan for data mining, measurement and the reporting cycle
- Delivered command & control and runbook processes
- Produced on a quarterly basis impact & analysis and recommendations to improve accuracy
- Worked closely with the design, build, test, implementation and credit risk modelling experts to successfully estimate impacts
CubeMatch Approach
- Professional team of experienced project and analysis professionals
- Governance to ensure that the estimated impacts went through the correct checks and balances to ensure comfort and support within the finance, risk and product management organisations
- Comprehensive approach, tooling and business processes to collect data every 3 months, measure the quality of the underlying data and run multiple scenarios
- Scalable and flexible tooling to handle multiple data-definitions and keep pace with improved insights on the application of improved IFRS9 credit risk models
Benefits Delivered
- Provision of insights on the impact of proposed policy to address IFRS9 guidelines and finetune proposals prior to the policy being approved
- Ability for the Bank to estimate the impact of IFRS9 on provisions, the financial balance and RWA
- Capability to provide solution for the target provision calculation function