01
PD · LGD · EAD modelling
Production-grade probability of default, loss given default and exposure at default models. Built on your segmentation, calibrated against your portfolio, tuned against Basel and IFRS 9 expectations.
the problem
IFRS 9 didn’t make provisioning simpler.
Expected credit loss is a moving target. Every quarter the book shifts, every reforecast changes the macro overlays, and every regulator visit wants lineage from raw data to the final provision number. Most banks still stitch that together across spreadsheets, standalone models and a handful of SMEs who know where the bodies are buried.
We built the ECL Calculator so a quarterly run is a pipeline, not a fire drill. PD, LGD, EAD, scenario overlays and audit trail sit in one engine — reviewed by KPMG’s banking practice, deployed against real books, and tuned for the regulators you actually answer to.
what’s inside
Three components, one audit trail.
Modelling, scenario overlays and lineage in a single engine — so provisioning reruns in hours, not weeks.
02
Scenario overlays
Baseline, adverse and severely adverse scenarios wired in by default. Macro variables plug into the same pipeline — rerun the book against updated forecasts in hours, not weeks.
03
Full audit trail
Every run leaves a lineage record: inputs, model version, scenario, reviewer, sign-off. Exportable straight into your regulator-facing pack and the Big-4 audit walkthrough.
Built with KPMG
Methodology co-developed with KPMG’s banking practice.
Models and audit scaffolding reviewed against Big-4 expectations. When your auditor asks how you arrived at a provision number, the walkthrough is already built — and it’s one KPMG has seen before.
Big-4 audit reviewedRegulator-facing documentationIFRS 9 stage allocation logicBasel-consistent risk parameters
first deployment
A tier-1 South Asian bank went from six weeks to 48 hours.
Before CBT, the quarterly ECL run took six weeks across three teams and ended with a spreadsheet no one wanted to own. Post-deployment, the full retail book reruns in under 48 hours — scenario overlays included — and the audit pack generates on the same pipeline. That’s the deployment that shaped the product.
48h
full-book rerun
retail portfolio, baseline + scenarios
6→1
teams involved
risk, finance, tech on one pipeline
4
scenarios per cycle
baseline · adverse · severe · bespoke
how the pilot runs
From kickoff to a regulator-ready pack in four weeks.
Fixed-fee and outcome-gated. Here’s what each week delivers — and where you sign off before scaling.
Week 0101
Scoping & data
Senior consultant on the ground (or remote) to scope the segment, agree the data feeds, and stand up the secure workspace inside your tenancy. Methodology pack starts here.
Week 0202
Segmentation & modelling
PD, LGD and EAD models calibrated against your portfolio segmentation. First parameter walkthrough mid-week with risk and finance — no surprises at the end.
Week 0303
Scenarios & lineage
Baseline plus two scenarios wired in. Macro overlays plug into the same pipeline. Lineage records start emitting against every run, ready for the audit pack.
Week 0404
Audit pack & sign-off
First full ECL run and a regulator-facing methodology pack. Walkthrough with your auditor — or with KPMG, if they're already in the room.
pricing
Pilot the outcome before you scale the licence.
Two engagement shapes. Both outcome-owned. Both backed by a named senior consultant.
01 · Pilot
Fixed fee · 4-week PoC
We take a single portfolio segment, stand up the calculator against your data, and deliver a first ECL run with a methodology pack your auditor can walk through. Outcome-gated — if the pilot doesn't land, you don't scale.
- ✓Single-segment deployment
- ✓PD / LGD / EAD walkthrough
- ✓Baseline + 2 scenarios
- ✓Audit-ready methodology pack
02 · EnterpriseMost common
Annual licence · tier-dependent
Full-book deployment across retail, commercial and corporate portfolios. Scenario scheduler, quarterly model review, and named senior consultant. Pricing scales with portfolio size — we'll quote after scoping.
- ✓All portfolios · unlimited segments
- ✓Quarterly model review
- ✓Named senior consultant
- ✓SLA-backed regulator support
frequently asked
What banks ask before they pilot.
The questions that come up in scoping calls — answered up front so you can decide if a pilot fits.
Will our regulator accept the methodology?
The methodology is co-developed with KPMG's banking practice and has been deployed against books supervised by South Asian central banks. We hand over a documentation pack designed to walk through with the regulator, not redact around them.
Can it sit alongside our existing risk stack?
Yes. The calculator ingests from your data warehouse and emits outputs your reporting layer can pick up. We don't replace your core banking or risk system — we sit between segmented data and the provision number.
Where does the data live?
Your environment. The engine deploys into your cloud tenancy (Azure or AWS), or runs on-prem if your risk policy requires it. No book data leaves your perimeter — we operate inside it.
What happens if the pilot doesn't land?
You don't scale, and you don't pay beyond the fixed pilot fee. The engagement is outcome-gated — if the methodology pack and ECL run aren't usable, the engagement closes there. We've never had to invoke that, but the contract makes it explicit.
How is the model maintained over time?
Quarterly model review is part of the enterprise tier. New macro forecasts, segmentation drift, and back-testing results feed into a structured review cycle, with a sign-off pack each quarter the regulator can read.
Who runs it day-to-day after deployment?
Your team. We train your risk and finance analysts during the pilot. The named senior consultant stays on call for major reruns and regulator submissions; routine quarterly runs are owned by you.
Run the ECL Calculator against your own book.
Thirty minutes with a senior consultant and a KPMG collaborator. We’ll walk the methodology, map it to your portfolio, and tell you whether a pilot fits.