To ensure transparent, consistent and efficient implementation of IFRS 9 by financial institutions, starting from 2018 the NBG regularly (twice a year) publishes macroeconomic and financial forecasts and risk scenarios. In particular, scenarios describe the medium term (3 years) and include baseline and alternative risk-scenarios. Each scenario provides path for main macro-financial variables, which should be taken into account for expected credit loss calculations. However, not all of the variables require inclusion in the credit loss assessment model.
The aim of macroeconomic risk-scenarios is to increase the availability of forward-looking macroeconomic information required to assess the expected credit losses in accordance with IFRS 9. The presented analysis facilitates the correct formulation of macroeconomic assumptions and the establishment of expert judgment in the financial reporting process.
The provided macroeconomic forecast scenarios are recommendatory. Financial institutions may add an alternative scenario and/or change it. However, in such cases it is necessary for the financial institution to understand the relevance of the corresponding scenario and the linkages between the different macroeconomic variables within each scenario. If necessary, the financial institution should be able to prove the reasonability of any changes made to a scenario and/or justify the introduction of a new scenario.