As of 2018, banks started to calculate expected credit losses by applying IFRS-9 principles. Modeling needs for a successful implementation of the IFRS-9 methodology and the creation of data models to be used in calculations and reporting were one of the most important and risky parts. Critical parameters (PD, LGD, EAD, CCF, Staging Inputs etc.) and rules needed for IFRS-9 needed to be integrated correctly and on time. The need for analysis and reporting needs of several business lines in parallel was also one of the most challenging part of the project.
Our approach & Solution
During the project, as data management consultants, the biggest contribution we thought was to use collaboration and communication between departments effectively. Since the decisions taken and the changes made affect the processes of all departments, being transparent during the project and ensuring the equal distribution of information in each team have been our biggest gains. The proper and efficient preparation of the data model and integration flows has been one of our main tasks in the project. Having a good command of well documented processes and business knowledge, understanding the languages of business units and directing them correctly has always been one of our main success criteria.
Technological part of the solution consists of 2 components:
- SAS for processing/scheduling analytical model
- ETL tool (ODI) and Databases procedures for data integration and feeding data model