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

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

Course Agenda