Course Agenda

Course Agenda

View Credit Risk Modelling September agenda below - March 2020 agenda to be confirmed

Day 1 - Monday September 9,  2019

08:30

Registration and refreshments

09:00

IFRS 9 accounting perspective one year on

  • Update on IFRS 9 implementation and supervisory actions

  • Challenges and remediation activity

  • Industry insights and benchmarking

  • ‘Managing’ estimation uncertainty 

  • What are we seeing in practice

  • Hedge accounting models and their alignment with risk management activities

10:30

Morning break

10:45

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?

12:00

Lunch

13:00

Dealing with ECL volatility 

  • Typical drivers of volatility

  • Management of volatility

  • How can AI/ML/big-data help?

  • Possible future trends

14:30

Afternoon break

15:00

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? 

16:30

End of day one

Day 2 - Tuesday September 10, 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

10:30

Morning break

10:45

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

12:00

Lunch

13:00

Model validation 

  • Why is IFRS 9 model validation critical?

  • Typical modelling components in IFRS 9 and techniques

  • Model validation framework

  • Key future considerations

14:30

Afternoon break

15:00

Main features of cash-flows simulation models

  • Regulatory requirements for specialised lending portfolios

  • Slotting criteria Vs internal models: pros and cons

  • Case study for income producing real estate portfolio: comprehensive evaluation tool:

  • Qualitative data and asset evaluation;

  • Business plan and cash-flow simulation;

  • Double default test and liquidation assumptions set-up;

  • Scenario-dependent credit risk parameters estimation: 1-year PD, lifetime PD, LGD, EAD

16:30

End of course