Course Agenda

Agenda

Agenda: Understanding and Implementing CECL

Day one: Monday, March 2, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

CECL – key challenges/opportunities and an auditing view

09:00 - 10:30

  • Refresher on CECL fundamentals 

  • FASB and TRG updates

  • Hot topics 

    • Reasonable & supportable, and reversion 

    • Purchased credit deteriorated assets

    • Determining the contractual life of revolving credit products

  • Auditor initial areas of focus 

Dr William Segal CFA

Principal and founder

Ipso Facto Solutions LLC

Dr William Segal, CFA is Principal and founder of Ipso Facto Solutions LLC, a New York-based boutique consulting firm offering specialized model development and review expertise. His team has completed engagements at some of the world’s largest financial institutions covering a wide range of analytics for purposes including anti-money laundering, the Current Expected Credit Loss (CECL) accounting standard, and capital adequacy. 


Before launching Ipso Facto in 2016, Dr Segal held leadership positions at Fannie Mae, Capital One, and at financial regulatory agencies in Washington DC. Dr Segal holds an undergraduate degree from Harvard and an Economics PhD from Berkeley.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

CECL impacts

10:45 - 12:00

  • CECL impacts: credit risk management and profitability forecasting 

  • CECL impacts: disclosures to investors 

  • Adjusting strategies to maximize return under a new element of forward looking risk 

  • Emerging industry practices

James Partridge

Director of credit analytics

Moody's Analytics

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

CECL quantification methodology

13:00 - 14:30

  • Why is segmentation critical to loss quantification? 

  • Leveraging existing capabilities for CECL modeling 

  • How to determine reasonable and supportable forecasts 

  • Will Q-factor adjustments be business as usual for reserves? 

Grigoris Karakoulas

President & founder

InfoAgora Inc

Grigoris Karakoulas is the president and founder of InfoAgora Inc. that has provided risk management consulting, prescriptive analytics, RegTech solutions (CECL/ IFRS9/IRRBB/Basel III) and model risk management services to Fortune-500 financial institutions with multi-million dollar benefits. He is also Adjunct Professor in the Department of Computer Science at the University of Toronto. Grigoris has published more than 40 papers in journals and conference proceedings in the areas of machine learning, risk management and predictive modelling in banking. He is on the PRMIA subject matter boards for Stress Testing and Enterprise Risk Management. He holds a PhD in Computer Science (Artificial Intelligence).

14:3014:45

Afternoon break

14:30 - 15:00

14:4516:15

CECL quantification: part II

15:00 - 16:30

  • Modeling considerations by asset class 

  • Alternative modeling methods, pros and cons, examples

  • Data requirements for each method  

  • Input variable selection 

  • Model development 

Grigoris Karakoulas

President & founder

InfoAgora Inc

Grigoris Karakoulas is the president and founder of InfoAgora Inc. that has provided risk management consulting, prescriptive analytics, RegTech solutions (CECL/ IFRS9/IRRBB/Basel III) and model risk management services to Fortune-500 financial institutions with multi-million dollar benefits. He is also Adjunct Professor in the Department of Computer Science at the University of Toronto. Grigoris has published more than 40 papers in journals and conference proceedings in the areas of machine learning, risk management and predictive modelling in banking. He is on the PRMIA subject matter boards for Stress Testing and Enterprise Risk Management. He holds a PhD in Computer Science (Artificial Intelligence).

16:1516:15

End of day one

16:30 - 16:31

Day two: Tuesday, March 3, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

CECL analytical challenges

09:00 - 10:30

  • Background/motivation

  • Ratings migration models 

  • Macroeconomic forecasting and simulation 

  • Loss severity 

Dr William Segal CFA

Principal and founder

Ipso Facto Solutions LLC

Dr William Segal, CFA is Principal and founder of Ipso Facto Solutions LLC, a New York-based boutique consulting firm offering specialized model development and review expertise. His team has completed engagements at some of the world’s largest financial institutions covering a wide range of analytics for purposes including anti-money laundering, the Current Expected Credit Loss (CECL) accounting standard, and capital adequacy. 


Before launching Ipso Facto in 2016, Dr Segal held leadership positions at Fannie Mae, Capital One, and at financial regulatory agencies in Washington DC. Dr Segal holds an undergraduate degree from Harvard and an Economics PhD from Berkeley.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Model risk management for CECL models

10:45 - 12:00

  • Testing the models for CECL use 

  • Evaluating CECL assumptions 

  • Qualitative adjustments and their dependency on model limitations 

  • Governance 

Ken Fu

Managing director and senior vice-president, corporate model risk management

Wells Fargo

Ken Fu is a Managing Director in Corporate Model Risk of Wells Fargo. In this role, Ken manages a model validation team covering a number of functions, including Retail and Wholesale Credit, Basel, Treasury Asset Liability Management, Home Lending Capital Market, Wealth & Investment Management, PPNR, and Economy Forecast. Prior to Wells Fargo, Ken managed model development teams in various capacities in Fannie Mae, Freddie Mac, Washington Mutual and JP Morgan Chase.

Ken received his Ph.D. degree from University of Wisconsin at Madison and a Bachelor’s degree from Xiamen University in China.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Model validation and CECL

13:00 - 14:30

  • 1st line model risk management and governance

  • Model implementation processes, technology and governance 

  • Model validation considerations for implementation and execution 

  • Reasonableness

Dr. Michael Jacobs

Lead quantitative analytics & modeling expert

PNC

14:3014:45

Afternoon break

14:30 - 15:00

14:4516:15

Governance

14:45 - 16:15

  • Complete governance around CECL process

  • Current ALLL framework adapted – where are the deltas? 

  • Impact analysis – what type of analysis should be done? 

  • Decision and assumptions vetting 

  • Beyond CECL 

Kevin J Clarke

Executive director, group compliance, regulatory and governance - Americas

UBS

16:1516:15

End of course

16:15 - 16:16