Department for International Trade
Provision of Macroeconomic Data and Forecast Scenarios for IFRS 9 compliance at UK Export Finance
This sits in the upper-middle of the Business Services band — a substantial contract for the sector. Based on 57,319 valued Business Services tenders in our corpus.
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.
What the supplier must deliver
UKEF needs to procure 1) macroeconomic time-series
UKEF needs to procure 1) macroeconomic time-series historic data and 2).
Derived from the notice text — always confirm against the original documents.
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- OCID
- fae13dfa-06e0-4e04-95b2-79eb8adacc5e
- Stage
- contract · Contract
- Source
- Contracts Finder
- Buyer ref
- tender_359251/1228766
Contains public sector information licensed under the Open Government Licence v3.0. Source data © Crown copyright.
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