IFRS Regulatory compliance

The client is a leading European Consumer Finance Bank which is part of one of the largest financial groups in the world. Client is the leader in car and leisure finance, and also offer credit cards, consumer loans and savings products for Nordic regions. 

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• Support internal and external audits (including regulatory), and maintenance of capital reporting. 
• Credit Risk projects supporting IFRS9 & IRB Implementation: 
• Projects on RWA optimization 
• PD Stress Test Modeling and scenario analysis 
• Impact calculation related to IFRS9 project(s)  
• Perform Basel II audit gap analysis, Capital impact calculation 
• Key challenge for bank in general across European Union is being ready for the IFRS9 (effective from 1st Jan 2018) and meeting auditors’ expectations and providing the required disclosures for this year and next. 

Provided business analysis services in key areas such as:

• Forward looking PD Stress Test model estimation 
• Qualitative framework creation for Forward looking LGD estimation 
• Provision (Loan Loss Reserve) projection calculation using IFRS9 Stage migration information 
• Pay down (Run Off) curve calculation for Revolving (# based) and Non Revolving (local currency based) for key portfolios for the amortization of commissions and fees  
• Contract level reporting to HQ using IFRS9 database and AQR gap analysis as per Corporate requirements  
• Expected remaining life estimation for revolving portfolio