IFRS 9 brought the two frameworks — Basel and IFRS — onto a parallel course in expected loss estimation for retail portfolios. Both rest on the same underlying risk components, and both are read by supervisors and auditors who expect the estimates to be defensible.
StatDec works alongside the client rather than around them: clear reporting channels, regular consultant–client review meetings and a thorough verification process, so that implementation actually lands inside the institution.
Two frameworks
What Basel IRB and IFRS 9 each ask for
CRD IRB for retail portfolios
The Internal Ratings Based Approach allows an institution to use its own estimates of risk in calculating capital requirements, and in doing so to benefit from improved risk management practice. We support both the development and the implementation.
The services offered are compliant with the BCBS Framework, the European Capital Requirements Directive (CRD), the European Capital Requirements Regulation (CRR) and the European Banking Authority (EBA), as well as with the acts and guidance documentation of local supervisors where necessary.
IFRS 9
IFRS 9 requires expected credit loss estimation over the appropriate horizon, which means lifetime risk components, macroeconomic conditioning and term structures rather than point-in-time parameters alone.
Long experience in data analysis and modelling for retail portfolios makes StatDec a reliable partner for institutions seeking compliance with the standard — from ECL and lifetime credit loss estimation through to the scripts needed to run it.
How we help
Consultative and technical support
Engagements range from framing the methodology and the data requirements through to building and estimating the risk components themselves.
Why StatDec
Our record on IRB and IFRS 9 projects
Services are customised to banks seeking compliance with the IFRS 9 standard and the CRD IRB framework.
IRB since 2006
StatDec has been assisting banks on IRB compliance projects since 2006, and on implementation of the IFRS 9 standard since 2016.
Models in regulatory use
Models developed by StatDec, including those built for unrelated purposes, are regularly used for provisions and capital requirements.
Audited and found compliant
Where models developed by StatDec have been audited, they have been found compliant on every occasion.
Retail specialists
The work is grounded in retail portfolio behaviour — application, behaviour and risk-grade models, pools and segments — not generic corporate rating practice.
Close cooperation
Clear reporting channels, regular review meetings and a thorough verification process, so implementation succeeds rather than stalling at handover.
Documentation that holds
Strong documentation and implementation scripts are part of the deliverable, not an afterthought once the estimates are agreed.
Related
Related scoring and validation services
IRB and IFRS 9 parameters draw on the same model estimate that supports origination and account management. See scorecard development for the underlying models, model validation for independent review of them, and banking for how the pieces fit together across the credit cycle.
FAQ
Frequently asked questions
Both rest on the same underlying risk components but are estimated differently. The IRB approach allows an institution to use its own estimates of risk in calculating capital requirements. IFRS 9 requires expected credit loss over the appropriate horizon, which means lifetime risk components, macroeconomic conditioning and term structures rather than point-in-time parameters alone.
Probability of default, loss given default and exposure at default, estimated over the appropriate horizon. For IFRS 9 that means lifetime estimates of the risk components, macroeconomic models linking them to economic conditions, and steering tables giving the term structure, together with pool design and the expected credit loss and lifetime credit loss calculation.
Often yes. StatDec recalibrates existing application models, risk grades and behaviour scores to the Basel definition, and develops new PD models or strategies for segments the current models do not cover. Models developed by StatDec, including those built for unrelated purposes, are regularly used for provisions and capital requirements.
Strong documentation is part of the deliverable rather than an afterthought. It covers the specification of data requirements, the development and implementation methodology, the monitoring and validation process and reports, the stress testing methodology, and the implementation scripts, so that the estimates can be reproduced and defended under supervisory review.
Yes. A validation framework is designed as part of the work, and institutions needing a separate review layer can commission an independent external validation. StatDec validates IFRS 9 and IRB models in line with the ECB Guide to Internal Models, the EBA guidelines and CRR3, covering discrimination, calibration, stability and the Margin of Conservatism.
Services are compliant with the BCBS framework, the European Capital Requirements Directive, the European Capital Requirements Regulation and the European Banking Authority framework, as well as the acts and guidance documentation of local supervisors where necessary. IFRS 9 work follows the standard itself and the supervisory expectations that have developed around it.
Scope your IRB or IFRS 9 work
Tell us where you are — data specification, parameter estimation, recalibration or documentation — and we will set out what the next stage looks like.
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