Prometeia, the global leader in Risk Management consulting and software solutions, announced that its ERMAS Suite is now enhanced with a new EU 2018 Stress Test compliant Credit Risk Module, a tool designed to calculate impairment and RWAs in line with the latest requirements set by the IFRS framework and the EBA stress testing methodology.
The IFRS9 accounting standards introduced a new provision calculation method, strictly linked to credit risk parameters and based on the concepts of stage and expected lifetime/12-months credit loss. The methodology required for the EBA Stress Test has therefore been revised by the European regulator, in order to reflect the new requirements of the IFRS9 impairment.
ERMAS has been integrated with dynamic features that allow the key risk parameters and the portfolio volumes to evolve according to customer-specific satellite models and applying transition matrices between rating and stage conditioned to macro-economic scenarios. Starting from the initial provisions and RWAs already available in the ERMAS Suite, it is now possible to project the future values of these variables in order to determine the impact on future P&L over the simulation time horizon.
Clients can achieve the following benefits:
Users of the ERMAS platform will greatly benefit from this new analysis module, intended to maximize the simulation flexibility and ensure a comprehensive modelling of credit risk drivers, fully integrated with the IFRS framework.
Prometeia, the global leader in Risk Management consulting and software solutions, develops ERMAS, a fully integrated platform supporting Balance Sheet Risk Management, Regulatory & IFRS Compliance, Performance Management & Control, Credit Risk Analysis and Credit Decision Management.
ERMAS, the new generation of value-centric risk solutions, is used by over 200 clients in more than 20 countries to support their critical decisions and to comply with local and international regulatory requirements.