Course Agenda

Agenda

Course Agenda

All timings below are in BST (British Summer Time)

14:0015:00

CECL – key challenges and opportunities

14:00 - 15:00

  • CECL fundamentals
  • FASB and TRG updates
  • Reasonable & supportable, and reversion
  • Purchased credit deteriorated assets
  • Determining contractual life of revolving credit products
  • Auditor initial areas of focus

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Scenario design

15:15 - 16:15

  • How to account for different scenarios
  • What do you think of your assumptions of CECL?
  • Risks of the bank
  • Loss forecasting framework
  • Understanding portfolio risk

14:0015:00

Quantification methodology

14:00 - 15:00

  • Why is segmentation critical to loss quantification?
  • Leveraging existing capabilities for CECL modelling
  • 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).

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Quantification methodology part two

15:15 - 16:15

  • Modelling considerations by asset class
  • Alternative modelling methods
    • Pros and cons
    • Examples
  • Data requirement 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).

14:0015:00

Analytical challenges for CECL

14:00 - 15:00

  • Background and motivation
  • Ratings migration models
  • Macroeconomic forecasting and simulation
  • Loss severity

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Model risk management for CECL models

15:15 - 16:15

  • Testing the models for CECL use
  • Evaluating CECL assumptions
  • Qualitative adjustments and their dependency on model limitations
Kevin J Clarke

Executive director, group compliance, regulatory and governance - Americas

UBS

14:0015:00

Model governance and CECL

14:00 - 15:00

  • 1st line model risk management and governance
  • Model implementation processes, technology and governance
  • Model validation considerations for implementation and execution
  • Reasonableness

     

15:0015:15

Coffee Break

15:00 - 15:15

15:1516:15

Impacts of COVID-19

15:15 - 16:15

  • Incorporating COVID-19 scenarios

  • Qualitative vs quantitative point of view

  • Challenges of the bank

  • How to use various scenarios to assign different likelihoods

  •  

    Beyond CECL