Success stories

A Fair Value calculation simulator based on IFRS 9

context analysis

reverse engineering

The implementation of the new IFRS 9 (International Financial Reporting Standard 9) accounting standard, which effective November 2009 replaced IAS 39 on the classification of financial instruments, made mandatory for Italian and European banks to approach the entire credit process from a risk-based perspective.

This new calculation system, used in particular to define adjustments in credit value (impairment) has major impact in several areas from the finalisation of contracts to client selection criteria, pricing, monitoring, internal control systems all the way up to accounting choices.

The client, a well-known service centre established as a result of structural changes in a major banking institution and specialising in innovative open banking services, chose Gruppo SCAI to support the analysis of the regulatory context and the implementation of a user-friendly Fair Value calculation simulator.

The Fair Value calculation simulator, developed in Excel sheets, led the analyses over a long period. The team’s experience ensured that the transfer of functional and technical concepts pertaining to the IFRS 9 managed by an external provider was carried out through a simple approach, starting from the reverse engineering of the underlying SAS code and making the key points of the calculations easy to interpret.

Thus, the client was able to use SCAI’s expertise to acquire detailed functional knowledge to interpret, optimise and speed up the detailed analyses.

Given its effectiveness, the calculation simulator became a pilot for a larger project to develop a Stress Test ensuring perfect time to market, from a compliance and business needs perspective, and a continuous collaboration between Gruppo SCAI and Client.

Technical Expertise

Architecture Design

Data Scientist

Application Development

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