The ECL Workbench is a modular solution that calculates probability-weighted Expected Credit Losses (pwECL) in line with IFRS 9 requirements. This includes the calculation of 12-month pwECL as well as lifetime pwECL for assets assigned to stage 1 or 2.
The workbench provides a browser-based UI to design master scenarios, to assign sets of macroeconomic parameters to specific models, to perform simulation runs, to calibrate PDs etc.
The ECL Workbench can be used integrated into an end-to-end solution build with Jabatix Finance Components or it can be used stand-alone.
In both implementation scenarios deals with similar credit risk cahracteristics must be grouped in segments and must be assigned (depending on their deterioration of credit quality) to one of the three impairment stages.
This information can be delivered together with the customer or individual financial asset or It can be provided by the following components:
- Segmentation of individual deals with similar credit risk characteristics
- Stage assignment of financial assets considering credit deterioration
The ECL Workbench supports
- Analyse of performance data for PD point in time and LGD calculation
- Calculation of Exposure at Default (EAD)
- Calculation of probability-weighted ECLs while taking various macroeconomic parameters in multiple scenarios into account
- Simulation as well as periodical Processing
- Generation of journal entries
- Feeding a result layer that covers reporting requirements
Wherever applications in the current IT landscape exist, the modular approach supports the recycling of already available measures. The process chain is designed in different steps. Each step has a clearly defined input/output interface. The modular approach provides various modules for each step in the process chain. Depending on available data and scope, the financial institution can select the appropriate module for each step.
The ECL Workbench is a construction kit that supports tailor-made solutions. These solutions can cover comprehensive approaches as well as simplified solutions, taking the complexity of an individual portfolio into account. The figure below shows the modules currently available for each step in the process chain. The number of modules increases frequently. Individual modules can be implemented without impact on the process chain itself.