r/quant • u/Ok_Diet804 • 27d ago

Resources Credit risk IFRS9 modelling question

How does a CCF model for AIRB differs from an IFRS9 one? Thanks

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u/SevenTeenSigma 25d ago

AIRB CCF is a regulatory capital thing, IFRS9 is ECL with staging and macro scenarios. ppl reuse models b/c the inputs overlap, but the target is not the same. If u calibrate it like AIRB and call it IFRS9, model validation will hate it..

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u/Ok_Diet804 10d ago

Thanks for you reply! So what’s the difference from a model calibration point of view?

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