Prometeia, a provider of risk management consulting and software solutions, has delivered its EU 2018 stress test compliant credit risk module.
It has enhanced its ERMAS Suite with a new EU 2018 Stress Test compliant Credit Risk Module, a tool designed to calculate impairment and RWAs in line with the latest requirements set by the IFRS framework and the EBA stress testing methodology.
The IFRS9 accounting standards introduced a new provision calculation method, strictly linked to credit risk parameters and based on the concepts of stage and expected lifetime/12-months credit loss. To reflect the new requirements of the IFRS9 impairment, the EBA Stress Test has been revised by the European regulator.
“The EU 2018 Stress Test Credit Risk Module represents a significant step forward in our methodological framework for integrated balance sheet management,” comments Massimo Pedroni, Senior Partner and Head of International Business at Prometeia. “With this component Prometeia completes a comprehensive redesign of its Risk solution in line with the new IFRS requirements, which started with the accounting classification, through the calculation of amortized cost and IFRS13 Fair Value, up to the projection of IFRS9 loss provision over the future.”
The company’s ERMAS now allows the key risk parameters and the portfolio volumes to evolve according to customer-specific satellite models, applying transition matrices between rating and stage conditioned to macro-economic scenarios.
Follwing the enchment, clients can combine internal parameters and apply user-defined equations / user forecasts in order to calculate the future risk metrics, under the baseline and stress scenarios.
It also offers a wide set of dynamic migration matrices, including the possibility to shock the rating and the stage migration separately, and then combine them or use pre-combined rating/stage migration directly.
All risk parameters are shared with the IFRS9 and RWA modules, so that users can rely on consistent models, transition matrixes, PD and LGD curves. They canalso determine the lifetime PD values for the ‘stage 2 provisioning’ with the bank-specific approach.
Users can now also calculate the impairment values in compliance with the related stage and the EBA methodology, coherently with the EBA template constraints; and obtain RWA projections based on the specific approach of each portfolio, the ‘reg’ parameters and volumes evolution.
ERMAS is a fully integrated platform supporting balance sheet risk management, regulatory & IFRS compliance, performance management & control, credit risk analysis and credit decision management.
Copyright © 2018 RegTech Analyst
Copyright © 2018 RegTech Analyst
