SigmaQ provides an integrated approach to Expected Credit Loss modelling, combining transparent quantitative models with comprehensive credit risk data and implementation expertise.

Our ECL solution is designed particularly for investment portfolios but can be adapted to other portfolio types. It can be applied under both IFRS 9 and CECL. Clients can use the complete SigmaQ solution or individual components, including PD and LGD data, model components and quantitative advisory.

Talk to us about your ECL framework.

A comprehensive ECL solution

Our team has been working on ECL models since 2017 and has implemented IFRS 9 ECL solutions for leading European insurers.

Producing reliable ECL estimates requires appropriate credit risk data, robust quantitative models and forward-looking economic scenarios. SigmaQ brings these components together in one solution, supported by practical experience in implementation and the ongoing operation of ECL frameworks.

PD and LGD data

SigmaQ provides credit risk data covering more than 35,000 companies across 70+ markets and LGD estimates for more than 100,000 debt instruments.

Our data can be used within the SigmaQ ECL framework or integrated into an existing IFRS 9 or CECL infrastructure, making it particularly suitable for investment portfolios requiring broad and consistent PD and LGD coverage.

ECL modelling

SigmaQ combines point-in-time credit risk measures with forward-looking economic information to derive Expected Credit Loss estimates.

Our methodology focuses on robustness, transparency and economic consistency. Model behaviour and its underlying drivers remain understandable, allowing changes in ECL to be analysed and explained rather than treated as the output of a black box.

Implementation and ongoing support

SigmaQ supports clients from methodology and data through calibration, validation, implementation and system integration.

Our involvement can continue after implementation. We support clients in operating their ECL frameworks, understanding changes in model results and assessing whether reported figures make sense in the context of the underlying portfolio and economic environment.

Robust ECL results without unnecessary model-induced volatility

ECL should respond when underlying credit risk changes. However, reported ECL can also be affected by unstable model parameters, model design or excessive sensitivity to individual economic scenarios.

SigmaQ’s approach is designed to distinguish genuine changes in credit risk from unnecessary model-induced volatility.

Combining robust credit risk measures with economically consistent scenario modelling and transparent model design helps produce ECL results that remain responsive to changing risk while also being understandable and explainable.

Our experience operating ECL frameworks after implementation provides an additional perspective: the model must not only be theoretically sound — its results also need to make economic sense when they appear on the balance sheet.

IFRS 9 and CECL

SigmaQ’s strongest implementation experience is in IFRS 9, including ECL solutions for major insurance investment portfolios.

Although IFRS 9 and US CECL differ in important aspects of their accounting requirements, both require forward-looking estimates of credit losses. SigmaQ’s underlying credit risk capabilities — including PD and LGD estimation, forward-looking credit risk modelling and economic scenario analysis — can therefore also be applied within a CECL framework.

Use the complete solution — or the components you need

Institutions with an established ECL infrastructure do not necessarily need to replace it. SigmaQ’s modular approach allows clients to use the complete framework or individual components:

• PD and LGD data — comprehensive credit risk data for investment portfolios
• Model enhancement — review and improvement of existing ECL model components
• ECL volatility analysis — identification and analysis of the drivers of ECL changes
• Model review and validation — independent assessment of methodology, calibration and performance
• Full ECL framework — models, data and implementation expertise in an integrated solution
• Ongoing ECL support — analysis of model behaviour and reported ECL after implementation

Talk to SigmaQ

Whether you are reviewing an existing IFRS 9 or CECL framework, experiencing unexplained ECL volatility, looking for comprehensive PD and LGD data or considering a new implementation, we can discuss which components of the SigmaQ approach are relevant to your portfolio.

Contact SigmaQ