Open Credit – Risk & Impairment


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 Collenda 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 C9ollenda application (Collenda 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).

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Risk & Impairment


Integrated solution
for all stages of impairment calculation

Flexible creation
of models with individual customer logic for generating risk parameters

Modelable rules
for the segmentation of transactions and risk parameters and for stage allocation (incl. transfer logic)

Management and calculation
of on-balance and off-balance shares

Optional analyst evaluation
in Stage 2 and 3 as well as extensive support for Stage 3 processing

Weighted scenarios
with multiple calculations

  • Parallel calculation HGB / IFRS for all stages
  • Management and calculation of corrective inventories for modification and POCI
  • Determination and posting facts (Year to Date, Month to Month, Month to Month cumulated)
  • IFRS 7 Notes Calculation IFRS 7 Notes
  • Research Client for logging, traceability of the results on individual transaction level in all stages
  • Simulation & Validation Parallel, high-performance simulation/validation calculations
  • Further development on the basis of future regulatory IFRS requirements

capability / Multilingualism / Foreign currency capability

Proven solution
suitable for mass data transfer (daily import/calculation/export of up to 10 million accounts)

Consolidated reporting
source for all stages (basis for regulatory reporting)

Process support
4-eye-principle, extensive plausibility checks

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