Risk & Impairment

Collenda Risk & Impairment

Collenda Impairment offers a complete, integrated solution for determining risk provisions for all stages of impairment in accordance with IFRS 9, which can also be used flexibly in individual modules.

Risk & Impairment
Tool from Collenda

The objective of the risk provisioning model in accordance with IFRS 9 is the early recognition of an impairment loss on the basis of the expected loss, so that both economic and accounting aspects are taken into account.

With the practice-oriented solution ABIT Impairment Engine, which contains many customizable components, the institutes are supported in the successful implementation of the IFRS 9 challenges.

In an integrated data budget, the complete impairment calculation is performed for Stages 1-3, either automatically (Stage 1-3) or as an individual analyst assessment with the help of user-friendly dialog interfaces (Stage 2 and 3).

Existing or new solutions for the calculation of necessary parameters (e.g. PD, LGD, CCF determination or generation of EAD profiles/security valuations, etc.) can be flexibly integrated or implemented within a scripting engine of the ABIT application (ABIT Parameter Engine) individually and release permanently by the customer himself or by Collenda.

Each transaction can be individually subjected to an automatic calculation method or manual analyst assessment. A configurable rules engine assigns the single transaction to segments and stages according to its type.

If an automatic calculation is assigned, an expected loss is determined using statistical life-time calculation methods and subjected to a Y2D or M2M consideration according to the configured account method.

Significant Stage 3 transactions may be subject to analyst assessments regarding the expectations of cash flows (accounts and collateral). For this purpose, weighted scenarios can be calculated. All results determined at individual transaction level are aggregated at risk association level and can be documented and released by means of resolutions (competencies and four-eye principles).

With the Risk Engine, expected lifetime losses on total portfolios can be offset in parallel against different stress scenarios. This universal calculation map and matrices calculates up to 25 scenarios in parallel and forms the basis for regulatory stress tests (e.g. EBA) or individual stress tests (e.g. forecast).

advantages

Key advantages

  • Integrated solution for all stages of impairment calculation
  • Modelable rules for the segmentation of transactions and risk parameters and for stage allocation (incl. transfer logic)
  • Flexible creation of models with individual customer logic for generating risk parameters
  • Optional analyst evaluation in Stage 2 and 3 as well as extensive support for Stage 3 processing
  • Weighted scenarios with multiple calculations
  • Management and calculation of on-balance and off-balance shares
  • Parallel calculation HGB / IFRS for all stages
  • Management and calculation of corrective inventories for modification and POCI
  • Determination of business transactions and posting facts (Year to Date, Month to Month, Month to Month cumulated)
  • Calculation IFRS 7 Notes
  • Multi-client capability / Multilingualism / Foreign currency capability
  • Research client for logging, traceability of the results on individual transaction level in all stages
  • Process support, 4-eye-principle, extensive plausibility checks
  • Consolidated reporting source for all stages (basis for regulatory reporting)
  • Proven solution suitable for mass data transfer (daily import/calculation/export of up to 10 million accounts)
  • Parallel, high-performance simulation/validation calculations
  • Further development on the basis of future regulatory IFRS requirements

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