Introduction of the new IFRS9 standards have increased the necessity for quantification of macroeconomic environment effects on the bank portfolio, modeling standardization and automation. One of the IFRS9 requirements refers to the forward-looking expected credit loss modeling, where each calibrated parameter should consider any future market and macroeconomic environment changes - internal and external effects.
Our new product, JFloret™ Macro Modeler, is an ideal software solution for quantification of the effects of different indicators on the bank portfolio. It’s user friendly and covers a wide spectrum of application - IFRS9, stress testing, ICAAP, collateral re-evaluation etc.
Indicators are given as independent variables, and they are not limited only to available macroeconomic indicators. The portfolio development is measured by probability of default, loss rate, and loan to value ratio, which are given as dependent variables. The software efficiently provides quantification of the effects of selected indicators that are supported by machine learning algorithms.
A user is not required to be an expert in the field of econometric modeling. The software implementation includes different modeling methodologies and allows testing of multiple modeling scenarios. The number of simulations is unlimited, and every successful simulation is saved, which allows comparison of different modeling approaches.
With data collection, ‘the sooner the better’ is always the best answer.
– Marissa Mayer, CEO Yahoo!
If you want to be one jump ahead of the game, feel free to contact us in order to arrange a presentation. We will answer all your questions regarding macro modeling, and let’s see what the data says - ‘the sooner the better’.