Test for Significant Increase in Credit Risk

Determines whether a financial asset has experienced a Significant Increase in Credit Risk (SICR) under IFRS 9, which triggers the transition from Stage 1 (12-month ECL) to Stage 2 (lifetime ECL). Tests both absolute and relative thresholds: absolute threshold checks if PD increase exceeds a fixed amount (e.g., 0.5%), relative threshold checks if current PD is a multiple of origination PD (e.g., 2x). Either trigger results in SICR. Use this for loan staging decisions, ECL provisioning methodology, and audit documentation of stage transitions. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/regulatory/ifrs9/sicr

cURL

sicr_triggered

curl --request POST \
  --url https://api.fincept.in/quantlib/regulatory/ifrs9/sicr \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "origination_pd": 0.008,
  "current_pd": 0.022,
  "threshold_absolute": 0.005,
  "threshold_relative": 2
}
'

200

sicr_true

{
  "success": true,
  "data": {
    "significant_increase": true,
    "origination_pd": 0.008,
    "current_pd": 0.022
  }
}

Authorizations

X-API-Key · string · header · required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

origination_pd · number · required

Probability of Default at origination/initial recognition

Required range: 0 <= x <= 1

Example:

0.008

current_pd · number · required

Current Probability of Default

Required range: 0 <= x <= 1

Example:

0.022

threshold_absolute · number · default: 0.005

Absolute PD increase threshold (e.g., 0.005 = 0.5%). SICR if current_pd - origination_pd > threshold

Example:

0.005

threshold_relative · number · default: 2

Relative PD increase threshold (e.g., 2.0 = doubling). SICR if current_pd / origination_pd > threshold

Example:

2

Response

200

application/json

SICR assessment completed successfully

success · boolean

Example:

true

data · object

Show child attributes