Agenda

Agenda

Managing IFRS 9 Model under the Crisis | Agenda

**************************************************
Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEST:
Start: 11:00am
Break: 1:00pm
Finish: 4:00pm
**************************************************

09:0010:00

Framework of IFRS9

10:00 - 11:00

  • Introduction to IFRS 9 and its goals
  • Main elements of IFRS 9
  • Key challenges in practice
  • FVPL and FVOCI
  • Impact on modelling
  • Relationship to IRB
  • Key issues with modelling PD
  • Key issues with modelling LGD
  • Key issues with modelling EAD
  • 12 months and lifetime assessment 
  • Modelling approaches
  • Definition of default
  • Non-modelled portfolios

10:0011:00

Managing IFRS 9 Model Risk

10:00 - 11:00

  • Goals and objectives of the model
  • Model governance and approval
  • Conceptual soundness
  • Review of methodology
  • Robustness, consistency and accuracy
  • Meaningful differentiation of risk
  • Selection of variables (obligor characteristics, transaction characteristics, macroeconomic factors)
  • Developing risk pools
  • Changes in the economic and credit environment
    • Overall
    • At risk factor level
    • At business or strategy level
       

11:0011:15

Break

10:00 - 11:00

11:1512:15

IFRS 9 Model Validation

10:00 - 11:00

  • Key rules and regulations
  • Basic approaches to validation
  • Pre and post usage validation
  • Goals and objectives of validation
  • What validation is and what it is not
  • Validation principles
  • Developing a validation framework
  • Validation governance
  • Validating Quantitative and Qualitative data
  • Validation to future

09:0010:00

Key Specific IFRS 9 Model Validation Issues

10:00 - 11:00

  • The three phases and their impact on model validation
  • Evaluation of risk stage determination
  • Review of robustness of staging thresholds
  • The one-year assessment and movement to lifetime value
  • Validating PD models
  • Data quality and reliability standards
  • Data stability
  • Data cleansing and scaling
  • Validation of data and data analysis
  • Model discrimination
  • Model Calibration
  • Validating correlation
  • Validating data quality and aggregation
  • Validating LGD models
  • Validating economic input data
  • Validating EAD and data stability
  • Different approaches and techniques
  • Exposure weighted measures
  • Validating qualitative data

10:0011:00

Validating Low Default Portfolios

10:00 - 11:00

  • The issues
  • Problems with data
  • Dealing with sampling
  • Dealing with tail risk
  • Using confidence levels
  • Validation of data in low default populations
  • Usage of synthetic data

11:0011:15

Managing and Validating IFRS 9 related Model Performance (1)

10:00 - 11:00

  • Reporting and monitoring model performance
  • Use of performance thresholds
  • Validation of performance data
  • Validation of excesses and actions

09:0010:00

Managing and Validating IFRS 9 related Model Performance (2)

10:00 - 11:00

  • Validation of model recalibration
  • Incorporation of forward-looking guidance
  • Manual intervention and overrides
  • Model monitoring 
     

10:0010:15

Break

10:00 - 11:00

10:0010:15

Stress Testing and Reporting

10:00 - 11:00

  • Sensitivity analysis
  • Stress testing methodologies, inputs and outputs
  • Scenario modelling approaches, inputs and outputs
  • Reporting to management
  • Reporting externally
  • Reporting on model validation framework
  • Reporting on model validation methodology
  • Periodic validation report