Estimator 9 — End‑to‑End IFRS 9 ECL Engine
A production‑grade ECL platform for IFRS 9 — combining macro‑economic scenarios, term‑structure PD/LGD, SICR detection, and three‑stage allocation in one validated engine.
Core ECL Formula
ECL = DF(tᵢ) × PD(tᵢ) × LGD(tᵢ) × EAD(tᵢ)
DF(tᵢ)
Discount factor using effective interest rate.
PD(tᵢ)
Point‑in‑time probability of default at time i.
LGD(tᵢ)
Expected loss severity post‑default.
EAD(tᵢ)
Expected exposure at default.
Core ECL Modeling Capabilities
Six quantitative pillars underpinning Estimator 9's IFRS 9 engine — from portfolio segmentation to stress testing and disclosures.
Portfolio Segmentation
Discriminant analysis and statistical pooling to group exposures into homogeneous risk pools.
Z = β₀ + β₁X₁ + β₂X₂ + ... + βₙXₙ
Macro‑Economic Scenario Modeling
MEVs identification, scenario design, and MES simulations across base, downside, and severe stress conditions.
PIT PD & LGD Term Structures
Lifetime term structures with collateral logic and cure behavior to drive stage‑wise ECL.
Bucket‑wise EAD Estimation
DPD‑based exposure mapping and behavioral credit conversion factors for revolving products.
GPPC‑Compliant Disclosures
Auditor‑ready exports for ECL movements, stage transfers, and reconciliations to financial statements.
Stress Testing & Validation
Parametric runs, challenger models, and anomaly detection to support internal validation and regulator reviews.
Automated Three‑Stage IFRS 9 ECL Model
Stage allocation, SICR tracking, and credit‑impaired identification are handled end‑to‑end within Estimator 9.
Stage 1
Performing Assets
- • 12‑month ECL
- • Low credit risk, no SICR since initial recognition
- • 12‑month forward‑looking PD
Stage 2
Underperforming Assets
- • Lifetime ECL
- • SICR identified but not yet credit‑impaired
- • Lifetime forward‑looking PD
Stage 3
Credit‑Impaired Assets
- • Lifetime ECL with individual assessment
- • Objective evidence of impairment
- • Typically 90+ DPD or default definition met
Deploy IFRS 9 with confidence
Join banks and financial institutions across 36+ countries using Estimator 9 for supervisor‑approved ECL models and GPPC‑compliant reporting.