Hello everyone,
I am currently working on default rate analysis within the SAS IFRS 9 framework and I am facing an issue reconciling the calculated default rates with the values available in the IFRS 9 data tables.
Specifically, I would like to understand which standard SAS IFRS 9 tables should be checked to validate historical and cohort‑based default rates (e.g., performing population vs. new defaults). At the moment, the default rates I am deriving do not fully align with what is stored or reported in the model outputs.
Could anyone advise on:
- The key IFRS 9 tables used for default rate / PD monitoring
- How default events are typically captured and aggregated in these tables
- Any common pitfalls when validating default rates in SAS IFRS 9
Any guidance or best practices would be highly appreciated.
Thank you in advance.
