Provision of Macroeconomic Data and Forecast Scenarios for IFRS 9 compliance at UK Export Finance
Department for International Trade · United Kingdom
Key facts
- Contract value
- £205,000
- Awarded
- 18 Jun 2023
- Contract starts
- 18 Jun 2023
- Contract ends
- 19 Jun 2026
- Procedure
- Call-off from a dynamic purchasing system
- Buyer type
- Central government
Awarded to
| Supplier | Value |
|---|---|
| Oxford Economics Ltd | £205,000 |
Description
The requirement is for the incorporation of forward-looking information on an unbiased and probability-weighted basis in the calculation of Expected Credit Losses (ECL). The ECL is comprised of three elements: Exposure at Default (EAD), Loss Given Default (LGD) and Probability of Default (PD). The requirements of IFRS 9 are typically captured by forecasts of economic conditions - multiple macroeconomic scenarios with their own probability weights are needed in the calculation of the ECL. To build, test and operationalise new IFRS 9 models, UKEF needs to procure 1) macroeconomic time-series historic data and 2) IFRS 9 compliant macroeconomic forecast scenarios with probability weights.
Categories (CPV)
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