Problem

Excel credit models are flexible, but they remain slow, cumbersome and difficult to maintain and distribute. Two Excel credit models were earmarked to be ported to something more fast, stable and auditable.

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Solutions

IFRS9 Credit Model

We delivered a Python-backed data science app that enables visual kickoff of credit modeling runs. The app is desktop-ready, for non-admin access and needs zero outside installations or dependencies. We reduced the calculation run time from 15 minutes to 30 seconds.

IFRS9 Hedge Effectiveness Model

A Python CLI tool was shipped that integrated with RMB systems to classify hedge effectiveness trades correctly. We reduced the calculation run time from 8 hours to 10 minutes.