ifrs9toronto

financial markets training

trainingIFRS9 Models, Methodologies and Implementation

“Changes for IFRS 9 models need to be made this year to meet the impending deadlines”

A two-day course discussing the credit-loss-forecasting methods needed for IFRS9 provisioning and the development of those methods in a way that takes advantage of existing, Basel-II and stress-testing models.

Your Expert TrainersDr. Scott D. AguaisFounder and MD and Mr. Gaurav ChawlaSenior ConsultantAguais and Associates (an affiliate of Deloitte)

Key Benefits Include•Pre-coursequestionnairetoestablish

your individual and business concerns•Sessionsaresupportedbytheuse

of practical case studies that will allow attendees to better understand the application of key issues in practice

•Comprehensivetake-awaycourse documentation

Companies who have attended marcus evans financial training include: •AIB•ING•JPMorgan•CentralBankofIreland•PNC•SNSBank•Nomura•MorganStanley•StandardChartered•Mediobanca•Mizuho•RBS•Sberbank•Nordea•CreditAgricole•Caixabank•Santander•DanskeBank•SocieteGenerale

The courseIFRS9callsforalossallowanceoneachunimpaired,banking-book,creditexposureintheamountof the present value of expected credit losses (ECLs) over either the exposure’s remaining life or the next 12 months.Therequirementoflifetimeor12-monthlossinturndependsonwhethertheexposure’screditrisktoday compared with its credit risk at origination has increased “significantly” to a position in excess of “low creditrisk.”Theloss-forecastingrequirementaddsanewdimensiontoprovisioningandsomanyaccountingandfinancedivisionswillneedtogetfamiliarwithtechniquesformerlyknownonlytoriskprofessions.

Thistwo-daycoursewillreviewtheIFRS9provisioningrulesanddescribewaysofproducingunbiasedprobability weighted estimates of ECLs, building upon an institution’s existing models. We provide insights intochallengesofdevelopingcompliantsolutions.Wediscusstechniquesforsatisfyingnovelrequirementslike“significantdeterioration”and“unbiasedprobabilityweightedforecasts”.Attheendofthesession,participantswouldhaveseenanddiscussedvarioustoolsandtechniqueswhichwillhelpthemdesignIFRS9solutions that work for their own institutions.

How will you benefit•UnderstandtheregulatoryevolutionofcreditriskmodellingrequirementsfromBaselIItoStress

Testing to IFRS9•LearnanddiscussvariousmethodsandtechniquesfordevelopingIFRS9compliantmodelsusing

an institution’s existing model suite•Learn from trainer’s and other participant’s experience in developing models•DiscovertechniquesforSignificantDeterioration(threestageallocation)requirements•Understand implementation perspective including forecasting, batch processing, provisioning, Expert CreditJudgement,etc.

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financial markets training

ProgrammeDAYONE

Regulatory Overview (1 hour) • ReviewIFRS9provisioningrulesandrecentupdates• Identifykeyobjectivestoachieveincomplyingwiththoserules• Derivebasicdesignprinciplesandsuccesscriteriafor

addressing requirementsConceptual Foundation (1 hour)• SystematicvsIdiosyncraticRisk• PointinTime(PIT)vsThroughtheCycle(TTC)modeloutputs• UnconditionalvsConditionaloutcomes• Adjustmenttocurrentcreditconditions,forwardlooking

and probability weightedDeveloping an ECL calculation framework for wholesale / corporate / commercial credit (1 hour) • FormulatingdesigncriteriaforassessmentofmodelssuchasCompliance,

Accuracy,SimplicityandScalability• Exploringvariousmodeldevelopmentoptionse.g.TopDownAllocation,

GradeTransitionMatrix,MacroandCreditfactormodels• Assessingmodeldevelopmentoptionsagainstassessmentcriteria

and choosing the right option for each credit institution’s bespoke needsDeep dive into for market leading wholesale / corporate / commercial credit ECL methodologies (4 hours)• Formulating,estimating,andvalidatingPD,LGD,andEADmodels

– Choices and challenges in developing models e.g. Direct calibration to defaultandlosses,adaptingvendormodels,AgencyDirectand AgencyReplication style models, etc.

– AssessingPointinTime(PIT)vsThroughtheCycle(TTC)natureof models– CorrectingmodeloutputtomakeitfullyPointinTime(PIT)– CreatingtermstructureofPointinTime(PIT)PD,LGDandEADs

• Projectinglossoutcomes– Credit-factor-drivermodels– Macro-economic-drivermodels– Translatingfactorforecaststolossprojections– ConditionalvsUnconditionallossoutcomes

• CalculatingECLsfromPD,LGD,andEADprojections

DAYTWO

IFRS9, Stress Testing and Basel II models (1 hour)• AdaptingBaselIImodelsforIFRS9• IntegratingSTandIFRS9approachesSignificant Deterioration (2 hours)• StageAllocation• ChoicesforStageallocation

– Targettriggers:LifetimePDs– Interimtriggers:12monthPDs,basedongrades,watchlistcategories, etc.

• Choicesforderivingtriggers• Significantincreasethresholdlevels• Lowcreditriskthreshold• WorkedExamplesEnd to End view (4 hours)• DataandITsystems• Risk–Financedataintegration• ImplementationtimelinesandefficiencyinproducingIFRS9provisions• BatchprocessingvsExpertInput• Involvementofeconomistsandseniorstakeholdersinapprovingfinal

provisions numbers• VolatilityinProvisions• MonitoringandReviewingIFRS9modelsforchange• Theroadahead–QuantitativeImpactStudies,IFRS9evolution

IFRS9 Models, Methodologies and Implementation

Delegate challenges/ solutionsYour problems• UnderstandingIFRS9requirementsandbuildingtheneededriskmodels

onthebasisofcurrentlyavailabledataandmodelswithminimalre-workand disruption

• Avoidingwastedeffortbylearningfromotherinstitution’sexperiencein developing solutions

• Gettinganintegratedperspective,bothIFRS9end-to-endfromdata–models–implementationandacrossdifferentregulatorymodeltypesBaselII – Stress Testing – IFRS9

Our Solutions• WeprovideabroadreviewofIFRS9requirementsandstructure

the discussion in terms of design principles. We help establish priorities fortakingadvantageofexistingdataandmodels,withtheobjectiveof minimisingre-work.Wediscussvariousmodellingoptionsavailableto an institution

• We present case studies illustrating IFRS9 solutions, challenges and obstacles in creating those solutions in a manner that accounts for each institution’s special circumstances

• WeprovideanintegratedperspectiveofIFRS9,providinganend-to-endviewfromdata–models–implementationanddiscusschallengeswhichrequirerework of the approach. We also discuss ways to ensure consistency in capital requirementspredictedbyBaselII,StressTestingandIFRS9models.

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about…

AboutyourexperttrainersThistrainingisledbyAguaisandAssociates(AAA)team.AAAisanaffiliateofDeloitteUK.TheteamhaspioneeredthedevelopmentandapplicationofPoint-in-Time(PIT)andThrough-the-Cycle(TTC)riskmeasures.Since2004AAAhavedevelopedinnovativesolutionswithinbanksandnowtheyarebringingtheirproprietaryanalyticexpertiseandsoftwaresolutionstothemarket.AAAadvancedPIT-TTCsolutionssupportfinancialinstitution’skeyRisk andRegulatoryobjectives-CapitalManagement,IFRS9andCECLtosupportProvisioning,andadvancedRegulatoryStressTesting.Dr. Scott D. Aguais isFounderandMDofAguaisandAssociates(AAA).Dr.Aguaishas25yearsexperiencedevelopinganddeliveringadvancedcreditanalyticssolutionstolargebankinginstitutions.Hespent10yearsdeliveringcreditmodelsandanalyticsthroughconsultingatDRI/McGraw-Hill,AMSandKPMG.HethenmovedontoAlgorithmicsandhasspentthelast12yearsdevelopingadvancedcreditmodelsandsupportingthesuccessfulBaselIIWaiversatBarclaysCapitalandRoyalBankofScotland.DuringthistimeDr.Aguaisandhisteampioneeredthedesign,developmentandimplementationofthefirstadvancedDualRatingsapproachusingbothPoint-in-Time(PIT)andThrough-the-Cycle(TTC)riskmeasurestosupportavarietyoffinancialbusinessobjectives.Gaurav ChawlaisSeniorConsultant-ModelsandMethodologiesatAguaisandAssociates(AAA).GauravleadstheapplicationofAAAbuilttechniquesatvariousclient’ssites.Gauravhas13+yearsofexperiencebuildingriskmodelsacrosslargebanksandacademicinstitutions.In2015,GauravdeliveredacustomizedversionofAAA’sflagshipmethodologyinaleadingUKcommercialbank.Thisincludedrapidprototyping,methodologydemonstrationandconductingQuantitativeImpactStudiesacrossallportfolios.Inthepast,GauravledthemethodologyandmodeldevelopmentteamatGECapitalresponsiblefordevelopingCCARandIFRS9focusedcreditriskmodels.AtRoyalBankofScotland,GauravpioneeredthedevelopmentofPoint-in-Time(PIT)andThrough-the-Cycle(TTC)methodologies,creditriskmodels(BaselIIAIRBPD,LGD,EAD);lossandstresstestingmodelsandhaspublishedextensivelyinthisarea.HehasalsodevelopedandreviewedMarketRisk,EconomicCapital,PPNR,andnaturalhazardmodels.Heholdsaneclecticmixof degreesinEngineering, Math, Business and Law. http://www.aguaisandassociates.co.uk

Who should attend?• CROs,CFOs• CreditRiskModellingHeads/Leads(1st Line of Defence)• CreditRiskIndependentValidationHeads/Leads(2nd Line of Defence)• CreditRiskQuants/Analysts• BusinessAnalysts• CreditRiskImplementationHeads/Leads• InternalAudit• RiskManagers• IFRS9,StressTesting&BaselIIRelatedProfessionals

What our clients are saying about marcus evans events

“Very good. Broad field of theory and practical issues put together.”Nomura

“Great material to go with a well structured and interesting course. The course tutor was really communicative, answered all questions I had.”Societe Generale

“A great event for practitioners”Citigroup

“Good and concise delivery. Course was well structured.”Lloyds Bank

marcus evansfinancial markets trainingmarcus evans financial markets training division has been developed tooffercoursesofthehighestcalibretoindustrypractitioners.Ourclients’increasingdemandsforhighqualityhands-ontraining,drivesourfocusedoutput. Thorough research ensures their applicability to your current business concerns.Trainingcoursesarebeingofferedonaworld-widebasisfromourproductionofficesacrossEurope,theUS,AustraliaandtheAsiaPacificregion.Thisinternationalnetworkaffordsaglobalviewofemergingtraining needs in the most dynamic industries. marcus evans financial markets training is a division of marcus evans. Togetherweofferspecialisedcoursesandconferencesinabroadrangeof industries including capital markets and wholesale finance, legal and business, general finance, energy, telecommunications and the media.

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