Singaporean lender DBS has implemented Aguais and Associates’ Z-Risk Engine (ZRE) solution to generate future credit losses on its wholesale credit portfolio and comply with IFRS 9 requirements ahead of the January 2018 deadline.
Under the IFRS 9 requirements, firms need to offer a predictive point-in-time (PIT) view of credit quality and detect credit impairments before the occurrence of a loss.
By applying regional and industry economic credit risk cycle scenarios, ZRE will deliver PIT versions of through-the-cycle parameters and get a dual-ratings system generating statistical credit estimates to meet IFRS 9 standards.
DBS CFO Sok Hui Chng said: “Most external and internal wholesale credit ratings are mainly through-the-cycle, so are unable to capture the substantial short-term movements in risk that are needed for the point-in-time measures IFRS 9 requires.
“Aguais and Associates have helped to resolve this challenge for DBS and delivered custom PIT and forward-looking calibrations for our credit models to capture impairments under the IFRS 9 framework.”