Setting Up Calibration Coefficients

You can lock calibration coefficients on the Calibration Coefficients page to send to Deep Future Analytics (DFA) to use in the calculation for the expected loss values. Locking calibration coefficients prevents them from being changed for a designated period.

This functionality is only available by request.

Select Setup > CECL from the menu.
The Credit Rating Codes page opens.
Select Setup CECL > Calibration Coefficients.
Select an Organization from the drop-down list, if applicable.
This option is only available if your institution is licensed as a holding company.
Select a Lock Date.
Enter a Lock Period.
Select Lock Coefficients for each category as needed.
Select one or more Model Selections from the drop-down list for each category as needed.
You can select the Advanced PD, Time Series, and/or Vintage models.
Select Save.

DFA adjusts the calculations as necessary when the calibration coefficients are received.