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IFRS 9 modelling: Jaywing extends use of Horizon platform to incorporate static models

Pete Sewart, Head of Data Science

The author

Pete Sewart

Head of Data Science

In 2017, Jaywing launched Horizon, our market-leading IFRS9 modelling softwareusing machine learning to generate accurate IFRS9 models based on clients’ latest data and economic forecasts.  Incorporating our learnings from over 35 IFRS 9 client engagements, Horizon has proven invaluable at generating accurate provisions, using a standardised methodology which accommodates inputs such as staging, economic forecasts, credit grade and segmentation, alongside parameters to determine inputs such as Significant Increase in Credit Risk – always ensuring that clients have the most accurate, up-to-date, compliant models based on their own data and parameters. 

We have now extended the approach to make Horizon available to users whose needs are more appropriately met by static models. The interface now supports execution-only models, which are developed by Jaywing’s consultants in partnership with the client. We take on the model build and deployment, handing over full documentation and enabling you to run the models using your own data and parameters once the model has been added to Horizon. This is particularly suitable for clients or portfolios where data is sparsere.g. start-up lenders, and those requiring a bespoke approach – but it is also of interest to any lender who needs a stable, intuitive execution environment to run their models, using an audit-strength platform which retains a full history of inputs and outputs, including all associated settings and parameters. 

Clients have been looking for this type of platform in particular because of recent economic turbulence, which has seen previous modelling assumptions come under increasing audit scrutiny. Many organisations have found this year’s audit a tough one, with increased focus on the quality of model construction and the extensive need for post-model adjustments arising from increases in forbearance and unexpected default trends. 

As we start to emerge from the pandemic, this is the perfect time to undertake a further review or rebuild of IFRS 9 models, which can now take account of a changed set of economic circumstances. 

Horizon makes both machine learning and static modelling options available, with the latter generated as bespoke implementations that meet the exact requirements of your portfolio. Coupled with Jaywing’s consultancy services and our IFRS9 monitoring and reporting service, we are the ideal partner to work with you as you evolve your IFRS 9 modelling approach. Get in touch for more information.