ifrs9-scenarios - IFRS 9 Macroeconomic Scenarios and Satellite Modeling
Applies forward-looking macroeconomic scenarios, satellite models, and probability-weighted credit cycle adjustments to calculate IFRS 9 ECL.
Tags
Updated: 2026-09-21Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Construct weighted macroeconomic scenarios
- Estimate satellite models for CCA
- Convert TTC PD to PIT PD
- Calculate probability weighted ECL
- Conduct ECL non linearity sensitivity testing
- Generate IFRS 9 governance pack summaries
Inputs
- Macroeconomic variables
- Scenario probability weights
- Historical default rate data
- Satellite model parameters
- Exposure at default and LGD values
Outputs
- Scenario-specific PIT PDs
- Probability-weighted ECL calculations
- ECL sensitivity test results
- IFRS 9 scenario summary pack
Requirements
- IFRS 9 standard compliance
- Time series data with recession period
- Model Risk Management validation
- IFRS 9 Governance Committee approval