BUY ALGOSAVE IFRS9 and CECL challenger model

You are in charge of implementing IFRS 9 and CECL regulations within your institution ?

Algosave helps you compute Point-in-Time, multiyear, forward looking and scenario sensitive Expected Credit Losses (ECL) in order to challenge in-house estimates

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AlgoSave delivers financial institutions with solutions to (a) IFRS-9 Expected Credit Losses calculation as well as to (b) its related computation of bank Risk Capital and RAROC. Born out of rigorous and analysis-focussed combined decades-long experiences in banking, high yield and distressed debt investments, AlgoSave innovative approach to credit modelling is founded on multi-period Calibrated Stochastic simulations of the Fundamentals of borrowers.

IFRS 9 Expected Credit Losses

In line with IFRS stringent requirements, AlgoSave delivers borrower specific, “Point in Time”, Probability-Weighted, IFRS 9 Lifetime Expected Credit Losses


IFRS 9 Related Credit Attributes

AlgoSave delivers “Point in Time”, multi-period and forward looking Probability of Default (PD) Loss Given Default (LGD) and Exposure At Default (EAD)


IFRS 9 Scenario and Stress-Test Platform

AlgoSave offers a robust and user-friendly platform to run multiple simulation-based scenario testing on IFRS 9 impairment calculations

Get ALGOSAVE IFRS9 and CECL Challenger Model




Bank Risk Capital
Thanks to AlgoSave PD and Asset Value correlation matrices, we provide new insights into issues of credit dependency which are central to the computation of financial institution Risk Capital and RAROC