Key takeaways
- H2O helps your team build explainable LGD and EAD models for CECL and IFRS 9, and prepares each quarter's run for your review.
- The quarterly allowance is rebuilt from loan tapes, collateral values, recovery history, limits, drawdowns and macroeconomic scenarios.
- Credit loss models built years ago can miss how recoveries change with the economy, and a missed change shows up as a surprise in the provision.
Credit loss estimation predicts how much a loan book will lose, from probability of default, loss given default (LGD) and exposure at default (EAD). H2O helps your team build explainable LGD and EAD models for CECL and IFRS 9, and prepares each quarter's run for your review.
Every quarter, your team rebuilds the allowance from loan tapes, collateral values, recovery history, limits, drawdowns and macroeconomic scenarios. Much of that time goes into moving data between spreadsheets, not into judging the number. Models built years ago can miss how recoveries change with the economy, and a missed change shows up as a surprise in the provision.