financial markets training

trainingIFRS9 Models, Methodologies and Implementation

“The clock is ticking to meet the new credit risk modelling standards for IFRS 9”

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 TrainersMr. Gaurav ChawlaSenior ConsultantAguais and AssociatesWith support fromDr. Scott D. AguaisFounder and MDAguais and Associates

Key Benefits Include•Pre-coursequestionnairetoestablishyourindividualandbusinessconcerns

•Sessionsaresupportedbytheuseof practical case studies that will allowattendeestobetterunderstandthe 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-daycoursewillreviewtheIFRS9provisioningrulesanddescribewaysofproducingunbiasedprobabilityweightedestimatesofECLs,buildinguponaninstitution’sexistingmodels.Weprovideinsightsintochallengesofdevelopingcompliantsolutions.Wediscusstechniquesforsatisfyingnovelrequirementslike“significantdeterioration”and“unbiasedprobabilityweightedforecasts”.Attheendofthesession,participantswouldhaveseenanddiscussedvarioustoolsandtechniqueswhichwillhelpthemdesignIFRS9solutions that work for their own institutions.

Howwillyoubenefit•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•Understandimplementationperspectiveincludingforecasting,batchprocessing,provisioning,Expert CreditJudgement,etc.

RegisterNow:Contact the marcus evans Training Division:

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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 choosingtherightoptionforeachcreditinstitution’sbespokeneedsDeep dive into for market leading wholesale / corporate / commercial credit ECL methodologies (4 hours)• Formulating,estimating,andvalidatingPD,LGD,andEADmodels

– Choicesandchallengesindevelopingmodelse.g.Directcalibrationto 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

provisionsnumbers• VolatilityinProvisions• MonitoringandReviewingIFRS9modelsforchange• Theroadahead–QuantitativeImpactStudies,IFRS9evolution

IFRS9 Models, Methodologies and Implementation

The SolutionsYour problems• UnderstandingIFRS9requirementsandbuildingtheneededriskmodels

onthebasisofcurrentlyavailabledataandmodelswithminimalre-workand disruption

• Avoidingwastedeffortbylearningfromotherinstitution’sexperiencein developing solutions

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

Our Solutions• WeprovideabroadreviewofIFRS9requirementsandstructure

the discussionintermsofdesignprinciples.Wehelpestablishprioritiesfortakingadvantageofexistingdataandmodels,withtheobjectiveof minimisingre-work.Wediscussvariousmodellingoptionsavailableto an institution

• WepresentcasestudiesillustratingIFRS9solutions,challengesand obstaclesin creating those solutions in a manner that accounts for each institution’s special circumstances

• WeprovideanintegratedperspectiveofIFRS9,providinganend-to-endviewfromdata–models–implementationanddiscusschallengeswhichrequirereworkoftheapproach.WealsodiscusswaystoensureconsistencyincapitalrequirementspredictedbyBaselII,StressTestingandIFRS9models.

RegisterNow:Contact the marcus evans Training Division:

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.HethenmovedontoAlgorithmicsandhasspentthelast12yearsdevelopingadvancedcreditmodelsandsupportingthesuccessfulBasel IIWaiversatBarclaysCapitalandRoyalBankofScotland.DuringthistimeDr.Aguaisandhisteampioneeredthedesign,developmentandimplementationofthefirstadvancedDualRatingsapproachusingbothPoint-in-Time(PIT)andThrough-the-Cycle(TTC)riskmeasurestosupportavarietyoffinancialbusiness objectives.Gaurav ChawlaleadstheapplicationofAAAbuilttechniquesatvariousclient’ssites.Gauravhas13+yearsofexperiencebuildingriskmodelsacrosslargebanksandacademicinstitutions.In2015,GauravdeliveredacustomizedversionofAAA’sflagshipmethodologyinaleadingUKcommercialbank.Thisincludedrapidprototyping,methodologydemonstrationandconductingQuantitativeImpactStudiesacrossallportfolios.Inthepast,Gauravledthe methodologyandmodeldevelopmentteamatGECapitalresponsiblefordevelopingCCARandIFRS9focusedcreditriskmodels.AtRBS,Gauravworkedondevelopmentofmethodologies,creditriskmodels(BaselIIAIRBPD,LGD,EAD);lossandstresstestingmodels.Hehasalsodeveloped/reviewedMarketRisk,EconomicCapital,PPNR,andnaturalhazardmodels.HeholdsaneclecticmixofdegreesinEngineering,Math,Business and Law.

http://www.aguaisandassociates.co.uk

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

Whatourclientsaresayingaboutthiscourse

“The course is great, with enough useful details to facilitate modeling for IFRS9 compliance”TD Bank

“Interesting and useful course – provided some new ideas for modelling”Scotiabank

marcus evansfinancial markets trainingmarcus evansfinancialmarketstrainingdivisionhasbeendevelopedtooffercoursesofthehighestcalibretoindustrypractitioners.Ourclients’increasingdemandsforhighqualityhands-ontraining,drivesourfocusedoutput.Thoroughresearchensurestheirapplicabilitytoyourcurrent businessconcerns.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,generalfinance,energy,telecommunicationsandthemedia.

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Register now:Contact the marcus evans Training Division