Course Agenda

Course Agenda

Credit Risk Modelling - London

Course Agenda

Day 1 - Monday, 9 September 2019

08:30

Registration and refreshments

09:00

Post IFRS 9: Where are we now?

  • Update on IFRS 9 implementation and supervisory actions 

  • Challenges and remediation activity

  • Classification and measurement of financial instruments

  • ECL regime

  • Comparison of methodologies and outputs across UK banks

  • Consequences on decision making, pricing and business origination

10:30

Morning break

11:00

IFRS 9 monitoring & benchmarking 

  • Organisational stakeholders expectations 

  • Linkages and communication between Risk and Finance functions

  • ECL benchmarking concept generation

  • Significant deterioration increase in credit risk

  • What next?

12:30

Lunch

13:30

Dealing with ECL volatility 

  • Drivers for ECL levels and changes

  • Volatility and drivers in market disclosures

  • Hedge accounting to reduce volatility 

  • Expected loss modelling 

  • Achieving regulatory capital relief alongside IFRS 9 P&L volatility 

15:00

Afternoon break

15:30

Adapting IFRS 9 models for stress testing 

  • How does IFRS 9 change the requirements for stress testing? 

  • Implementation challenges: has IFRS 9 made stress testing a ‘big data’ problem? 

  • Model risk in IFRS 9 stress testing

  • Analysing and checking stress output under IFRS 9 

  • Regulatory stress tests: what can we learn from EBA and PRA exercises to date? 

17:00

End of day one

Day 2 - Tuesday, 10 September 2019

08:30

Refreshments

09:00

Loss given default

  • EBA’s definition of default

  • EBA’s new rules for LGD

  • Estimation methodologies

  • Auditing LGD reviews

  • Working towards 2021 and its challenges

Speakers:

Jason Benton, Associate Director, PwC 

Craig Luff, Senior Manager, PwC 

10:30

Morning break

11:00

Basel IV and credit risk modelling 

  • Impact on AIRB of inputs and output floors. 

  • Recalculation of RWAs using the standardised approaches

  • Incorporating IFRS 9  provisions in the new AIRB and standardised approaches

  • IFRS 9 modelling implications of Basel IV

Speaker: 

Juan Ramirez, Director, Deloitte

12:30

Lunch

13:30

Model validation 

  • Impact of TRIM 

  • ECB’s asset quality review on IFRS 9

  • validation of expected loss

  • Enhancing model validation standards

  • Model risk management frameworks

15:00

Afternoon break

15:30

Utilizing data management, machine learning and AI for managing credit risk

  • Data Management

  • Use of data captured for Basel capital calculation for IFRS 9

  • Staying compliant with CRR

  • Predicting default risk

  • Machine learning for capital calculations

17:00

End of course