Macroeconomic scenarios for IFRS 9 and CECL

Independently produced macroeconomic scenarios, built on more than 25 years of award-winning forecasting, to help lenders meet regulatory requirements with confidence.

Independent scenarios you can rely on

Macroeconomic scenario modelling

Our macroeconomic scenario service combines proprietary stress-testing models, clear narratives and the expert judgement of our award-winning economists. Our analysis and forecasts are independent, and we are a trusted provider of insights to the financial sector, with a strong track record of accuracy awards from organisations including LSEG, Consensus Economics and FocusEconomics. For clients who already rely on our macro research elsewhere in the business, our scenario service extends that same rigour directly into the credit risk process.

Regulatory confidence

Independently produced macroeconomic scenarios with audit-ready supporting documentation, methodology and narratives.

Stress-testing compatibility

Our scenarios can be designed to complement your broader stress-testing framework, with severities tailored to your requirements and calibrated for consistency with your relevant regulatory stress-testing benchmarks.

Timely insights

Economic conditions can shift quickly. We update our scenarios regularly, and in real time during periods of volatility, so your models stay relevant and your decisions well informed.

Bespoke flexibility

Our service is fully customisable. Tailor the number of scenarios, indicators and geographic coverage to match your risk profile.

Severity you can defend

Each scenario’s severity is anchored to a distribution calibrated to more than 25 years of our forecasting record. We can recommend probability weights, or you can set your own.

Value beyond regulatory compliance

These scenarios can also support internal business planning, from a corporate stress-testing its revenues to an asset manager assessing a trade shock to a pension fund asking where real rates settle over thirty years.

IFRS 9 & CECL

Economic scenarios for IFRS 9 and CECL

Under IFRS 9 and CECL, forward-looking forecasts sit at the centre of the credit loss model. Our service covers UK and international markets for IFRS 9, and US national data plus all 50 states and DC for CECL.

	IFRS 9	CECL
Geographic coverage	UK and international	US national and all 50 states + DC
Update frequency	Quarterly + real time	Quarterly + real time
Packages	Off-the-shelf (UK only) or bespoke	Bespoke
	Learn more about IFRS 9	Learn more about CECL

Why choose Capital Economics for IFRS 9 and CECL economic scenario modelling?

IFRS 9 and CECL both require lenders to estimate expected credit losses using forward-looking information, rather than relying on historical loss experience alone. IFRS 9, the international accounting standard for financial instruments, requires probability-weighted macroeconomic scenarios. CECL, the US GAAP standard set out in FASB ASC 326, requires reasonable and supportable forecasts of future economic conditions. Getting that right demands both rigorous economic forecasting and the credibility to stand behind it with auditors and regulators.

IFRS 9 Scenario Modelling

Independent baseline, upside and downside forecasts with evidence-based probability weights. Built on our proprietary stress testing model and the expert judgement of award-winning economists, every scenario is audit-ready and designed for both regulatory requirements and business planning.

Explore IFRS 9 scenario modelling

CECL Scenario Modelling

Independent baseline, upside and downside forecasts for US lenders, with national, 50-state and DC coverage. Built on our proprietary stress testing model and the expert judgement of award-winning economists, every scenario is audit-ready and designed for both regulatory requirements and business planning.

Explore CECL scenario modelling

Our scenario framework

Up to six scenarios, calibrated to your book

Our default framework spans up to six scenarios, from a strong upside to an extreme downside, each anchored to a percentile of the distribution of plausible outcomes. The baseline is our modal forecast, the single most likely path.

Built to flex

You can specify the number of scenarios, name them to match your own internal conventions, and set the percentile each one should represent. For example, a client might instead ask for a four-scenario set such as:

Stronger Near-Term Rebound - 90th percentile
Baseline Forecast - 50th percentile
Moderate Downturn - 25th percentile
More Severe Recession - 10th percentile

Whatever the configuration, every scenario is still built on the same underlying model and methodology. Scenario narratives adapt to the nature of the risk too, typically demand-led, but stagflationary when supply-side or price pressures dominate.

Methodology

From macro judgement to model-ready scenarios

A baseline that isn't a black box

Our starting point is detailed analysis of the data, historical context and evolving economic relationships, not a large-scale econometric model, so we can always explain what's driving the forecast, and senior economists challenge the outlook on an ongoing basis.

A proprietary stress-testing model

Our scenarios are produced using proprietary macroeconomic stress-testing models, built in-house and underpinned by economic theory, ensuring internal consistency across scenarios and updates. Expert judgement remains central to how each scenario is constructed.

Measuring uncertainty

We map the range of plausible outcomes around our baseline using a fan chart, the approach the Bank of England uses to show forecast uncertainty. Calibrated to more than 25 years of our own forecast errors, it sets each scenario’s severity.

Comprehensive variable coverage

We cover the full range of macroeconomic and financial indicators needed for ECL modelling.

Meet the team

Meet our modelling team

Paul Ashworth

Chief Data & Modelling Economist

Alexandra Dreisin

Head of Modelling

Ruben Abargues

Economist

Alex Kerr

Economist

Case Study

Why did Meta Platforms choose Capital Economics?

Our modelling team partners with lenders to transform the complexities of CECL into clear, defensible and commercially robust solutions. The team is fully integrated with our award-winning Economics teams, whose internally produced baseline forecasts and ongoing peer review ensure that our CECL work is grounded in rigorous macroeconomic thinking. For many clients, our CECL scenario service is a natural extension of an existing CE relationship, bringing the same economist credibility and analytical rigour they already rely on directly into their credit risk process.

“We’re now fully integrating Capital Economics’ risk scores into our internal reporting for monthly collectability assessments under US GAAP and IFRS. We fully trust the quality of Capital Economics’ service and look forward to continuing and expanding our strategic partnership with the CE team.”

Global Credit Risk Data Solutions, Meta Platforms