Like most banks in the world, Aegon reports in accordance with the International Financial Reporting Standards (IFRS) developed by the International Accounting Standards Board (IASB). In response to the global financial crisis of 2007, the IASB developed IFRS 9: new regulation to account for financial instruments. From a risk modelling perspective, IFRS 9 mostly impacts the way provisions are calculated, where expected losses need to reflect the Bank’s macroeconomic outlook.
Although Aegon had managed to develop IFRS 9 compliant models, the models’ performance was not satisfactory. Therefore, we were asked to redevelop all models for the Consumer Loans portfolios, covering more than 80% of the Bank’s provisions. In only three months, our team managed to do so, and the first runs have proven to be stable and very much in line with expectations. Because the models are efficient and sensitive to the right risk drivers, Aegon is now able to accurately calculate their provisions and monitor the underlying risk drivers through an improved dashboard.
“To be honest, I do not know many parties in the Netherlands, besides ADC, that are very good at all aspects when it comes to data projects. ADC consultants are hands-on, pragmatic, good at building data structures and models, and deliver on time.”
Frans Boshuizen – Head of Capital Management and Modelling, Aegon Bank
Our good relationship with Aegon Bank means a great deal to us; they are open about their challenges and give us the space to solve them as we see fit. Through this, and by being highly involved, we can truly add value. As a result, we have managed to develop several high-quality models, including documentation, on time and often exceeding expectations.