L'audit du portefeuille de credit est l'un des sujets les plus complexes en audit bancaire.
Classification IFRS 9
3 categories selon SPPI test et business model : Amortized Cost, FVOCI, FVTPL.
Calcul ECL
Expected Credit Loss en 3 etapes : Stage 1 (12-month ECL), Stage 2 (Lifetime ECL), Stage 3 (defaut).
Triggers de Stage 2
Augmentation significative du risque de credit. Indicateurs quantitatifs (PD) et qualitatifs.
Modeles internes
PD (Probability of Default), LGD (Loss Given Default), EAD (Exposure at Default). Validation modeles.
Forward-looking information
Integration de scenarios macroeconomiques (3 scenarios ponderes typically).
Audit approach
Test of controls, substantive procedures, model validation, sample testing.