BBA develops risk and capital modeling applications for financial institutions to ensure regulatory compliance and effective business management. Their IFRS 9 Impairment Analyzer is a web-based solution that addresses requirements for migrating existing Excel models or implementing a new IFRS 9 solution. The solution is developed by quantitative analysts and accountants, and uses techniques like Kaplan Meier survival functions and Markov matrices to model risk while avoiding historical bias. It can accommodate both rated and unrated obligors on a standalone or collective basis.

1. BBA develops risk and capital modelling applica-
tions for financial institutions. These applications are
engineered for regulatory compliance and effective
business management.
Whether you are looking for a new IFRS 9 solution or
would like to migrate your existing Excel model to a more
secure, web-based environment, BBA’s uncomplicated
IFRS 9 Impairment Analyzer addresses these requirements.
Developed by a team of quants, reviewed by indepen-
dent accountants, this solution seamlessly transforms
fit-for-purpose models into a powerful business-as-usual
solution. Our solution accepts rated and unrated obligors’
as input.
We apply best practice approaches to power the model,
such as, Kaplan Meier Survival function and Markovian
matrices. Output data can be written on internal database
or downloaded. Key functionalities of our solution include:
• Methodology aimed at avoiding historical bias in
defaul modelling
• Universal data logic that accommodates rated and
unrated obligors on standalone and collective basis
• Applies life of loan estimates using Gamma Function
Advanced
• Develops forward looking parameters,
using macroeconomic forecasts based on a robust
z-score engine
Tel:
Email:
Website:
BANKING BOOK ANALYTICS (BBA)
Analytics engineData input
Business rules/
output
Unrated/Rated
Collective observations
Lifeofloan
estimate
Standalone
Rated/Implied PD
Lifeofloan
estimate
Performing
Non-
Performing
Censored
data
Master rating
scale
PD/Implied
PD mapping
Effective Interest
rare/Discount factor
Survival forecast
Marginal probability of
default forecast
Cumulative Probability of
default forecast
Macroeconomic overlay
Exposure at default
forecast
LGD forecast
Present value of credit
losses (ECL)
Stage 1 ECL
Stage 2 ECL
Stage 3 ECL
Submission
Data
warehousing
User-defined Stage
Assignment
IFRS 9 data output
Next
portfolio/Account
Cloud hosted
IFRS 9 Impairment Analyzer
IFRS 9 Impairment Analyzer
+1-905-499-3618
contact@bankingbookanalytics.com
Bankingbookanalytics.com