SAS presentation on the IFRS9 with topic name "Ind AS 109achieving-optimal-compliance by Nakul Rajpal, SAS India.

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Ind AS 109: Achieving Optimal Compliance
Nakul Rajpal
Risk Customer Advisory
SAS Institute

2. Copyright © SAS Institute Inc. All rights reserved.
Environment for Banking
Regulatory
Framework
Disruption
IND AS
Stress
Testing
BCBS 239
FinTechs
Blockchain
RegTech
Digital
Banking
Virtual
Banking
Advanced
Analytics –
AI /ML
FRTB / IRRBB
RBI Basel III / IV
2

3. Copyright © SAS Institute Inc. All rights reserved.
McKinsey: The future of bank risk management …
… will likely look dramatically
different by 2025
… will be key contributor
to banks’ bottom lines
… undertakes a wholesale,
ambitious transformation
… but must start to do so now. ”
Source: The Future of Bank Risk Management – By Philipp Härle, Andras Havas, and Hamid Samandari
https://www.mckinsey.com/~/media/mckinsey/business functions/risk/our insights/the future of bank risk management/the-future-of-bank-risk-management-full-report.ashx

4. Copyright © SAS Institute Inc. All rights reserved.
IND AS 109
4
Why
Accurately reflect
risk through
Financial
Statements
What
• Risk Estimation
• Impairment
Calculation (ECL)
• Instrument
Classification
• Interest & Fee
Accrual
When
Original timeline
of 1st April 2018
extended to 1st
April 2019

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Key Challenges in India
Building and
enhancing existing
risk models.
Predictive models for
PD, LGD linking with
customer attributes
and macro economic
Risk Modelling
Evolving models
need to be efficiently
implemented across
the banks portfolio to
arrive at an ‘optimal
ECL’
Efficient
Model
Implementation
Integration of Risk
and Finance teams to
come together to
generate a unified
statement. Typically
had different
cultures.
Risk & Finance
Culture
Initial estimates from
global banks are
showing increase in
impairment
allowances of over
20-30%.
Increased
Capital
Requirements
Increased
requirements around
risk management
process audit.
Detailed questions
on assumptions,
models and
validation
Auditability &
Traceability

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• Data Reconciliation Issues
• Data Exception Handling
• Manual Data Acquisition
• Data Enrichment / Classification
• Error Handling Execution
• Manual Coding
• Auditability /Governance
• Flexibility
Model Execution
• Manual Monitoring
• Model Risk Management
• Forward Looking Model
• Multiple Iteration
Model Governance
Gaps New requirements
• Model Validation
• ECL Validation
• Staging /Disclosures
• Timely Computation
Risk & Finance Integration
Gaps observed at Banks for IFRS9
Data Governance

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7
Strategic View
Credit Risk
Financial Statements
•Risk based Pricing
•Managing Profitability
•RAROC
•Recovery Analytics
•Early Warning
•Expected Credit Loss
•PD/LGD Estimation
•Stage Allocation
•Attribution Analysis
•Backtesting
•Effective Interest Rate
•GL reconciliation
•Accounting Entries
•Disclosures
IND AS 109: Strategic View

8. Copyright © SAS Institute Inc. All rights reserved.
SAS® IFRS 9/CECL Global Deployments
More than 300 banks use the SAS IFRS 9 solution with 80+ deployments worldwide
Americas: 19
Financial Institutions, incl.
5 Banks in Canada
(3 of the Top 5)
4 Top-Banks in the US
1 of the Top 6-Banks in
Argentina
1 Top-Bank in Chile
3 of the Top 5-Banks in
Colombia
EMEA: 52 Financial Institutions, incl.
9 Banks plus 2 Service Providers for another
30+ Banks in Italy
5 Banks in Sweden
5 Banks in the UK and Ireland
6 Banks in Turkey
6 Top-Banks in the Middle East
1 of the Top 5-Banks in South Africa
Asia Pacific: 10
Financial Institutions, incl.
1 of the Top 4-Banks in Australia
2 Top-Banks in China
1 Private Sector Bank in India
3 Top-Banks in Malaysia
1 Top-Bank in Singapore
(covering 70 countries)
2 Top-Banks in Thailand
1
1
1
3
8
5 1 4
5
11
3
1
2
2
3
2
1
1
1
1
1
1
1
2
1
3
2
1 6
2
2
1
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SAS Solution end-to-end coverage for IFRS 9
PIT PD
LGD
EAD
CDS term-
structure
ECL model calibration and
execution
Account Data
Mortgages
Cards
Loans
Small portfolios – basic models
Economic /
Market Data
Forecast &
Historic
Securities
Bonds
Liquidity
Investments
Data
Mart
Data Quality and
Reconciliation
Data
standardization
& classification
Data
quality
Data
correction
Data
Sources
Data
Staging
C&M
SPPI Test
Decision
Engine
Output
Benchmark
test
Model
Development/
Calibration
Market
parameters
extraction
Model & Parameters Library
Modeling & Calibration
Fair value Engine
ECL , EIR & FV
Calculation
FV PL
OCI FV
Market
Calibration
Historical
Calibration
Reports
& GL
entry
Approval
Process
Manual
Adjustments
G/L
Reconciliation Regulatory,
Managerial &
Risk ReportingGeneral
Ledger
IFRS 9 production:
Orchestration & Consolidation
Data Management Decision Management ModelsDevelopment Risk& Finance Engine Orchestration & Consolidation
Cash Flow Generator
Business
Model Flag
Other Banking
Book
12 Months ECL
Lifetime ECL
Stage
Allocation rules
- 12M / LEL
EIR determination
Amortizing Cost Calculation
Decision Tree
Questionnaire

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