Training

A two-day course discussing the credit-loss-forecasting methods needed for CECL provisioning and the development of those methods in a way that takes advantage of existing internal PD, LGD, EAD and stress- testing models.

CECL MODELS, METHODOLOGIES AND IMPLEMENTATION

Your Expert Trainers Dr. Scott D. Aguais, Founder and MD, Aguais and AssociatesMr. Gaurav Chawla, Senior Consultant, Aguais and Associates

Key Benefits Include • Pre-coursequestionnairetoestablishyourindividualandbusinessconcerns.• Sessionsaresupportedbytheuseofpracticalcasestudies• Comprehensivetake-awaycoursedocumentation

The Course CECLcallsforalossallowanceoneachunimpaired,banking-book,creditexposureintheamountofthepresentvalueofexpectedcreditlosses(ECLs)overtheexposure’sremaininglife.Theloss-forecastingrequirementaddsanewdimensiontoprovisioningandsomanyaccountingandfinancedivisionswillneedtogetfamiliarwithtechniquesformerlyknownonlytoriskprofessions.

Thistwo-daycoursewillreviewtheCECLprovisioningrulesanddescribewaysofCurrentExpectedCreditLosses,buildinguponaninstitution’sexistingsetofmodels.Weprovideinsightsintochallengesofdevelopingcompliantsolutions.Wediscusstechniquesforsatisfyingnovelrequirementslike“Anentityshouldconsiderrelevantqualitativeandquantitativefactorsthatrelatetoboththeenvironmentinwhichtheentityoperatesandthosethatarespecifictotheborrower,whichmaybebasedoninternalinformationorexternalinformation”and“includinginformationaboutpastevents,currentconditions,andreasonableandsupportableforecasts”

Attheendofthesession,participantswouldhaveseenanddiscussedvarioustoolsandtechniqueswhichwillhelpthemdesignCECLsolutionsthatworkfortheirowninstitutions.Weprovideindepthviewofmodelsandmethodologiesforglobalwholesale/corporate/commercialcreditspanningassetslikelargeandmid-corporates,SME,banks,sovereigns,property,specialisedlending,etc.However,thelearningsareequallyapplicabletoretailassetslikemortgages,creditcards,etc.

How Will you Benefit? • Understandtheregulatoryevolutionofcreditriskmodellingrequirementsfrominternal/BaselIIPD,LGD,EADtoStressTesting/CCARtoCECL

• LearnanddiscussvariousmethodsandtechniquesfordevelopingCECLcompliantmodelsusinganinstitution’sexistingPD,LGD,EADmodelsuite

• Learnfromtrainer’sexperienceindevelopingcompliantandcosteffectiveIFRS9solutionsgloballywhicharetobeimplementedaheadofCECL

• Understandimplementationperspectiveincludingforecasting,batchprocessing,provisioning,ExpertCreditJudgement,etc.

The Solutions Your Problems

UnderstandingCECLrequirementsandbuildingtheneededriskmodelsonthebasisofcurrentlyavailabledataandmodelswithminimalre-workanddisruption

Avoidingwastedeffortbylearningfromotherinstitution’sexperienceindevelopingsolutions

Gettinganintegratedperspective,bothCECLend-to-endfromdata–models-implementationandacrossdifferentregulatorymodeltypes:Internal/BaselIIPD,LGD,EADmodels–CCAR/StressTestingmodels–CECLmodels

Our Solutions

WeprovideabroadreviewofCECLrequirementsandstructurethediscussionintermsofdesignprinciples.Wehelpestablishprioritiesfortakingadvantageofexistingdataandmodels,withtheobjectiveofminimisingre-work.

WepresentcasestudiesillustratingCECLsolutions,challengesandobstaclesincreatingthosesolutionsinamannerthataccountsforeachinstitution’sspecialcircumstances.

WeprovideanintegratedperspectiveofCECL,providinganend-to-endviewfromdata–models-implementationanddiscusschallengeswhichrequirereworkoftheapproach.Wealsodiscusswaystoensureconsistencyincapitalrequirements

“The seminar was very good. Very informative discussion and questions from attendees”Texas Capital Bank

“A great event for practitioners”Citigroup

“Very good event bringing a very impressive group of experts”Scotiabank

Programme

DAY ONE

Regulatory Overview (1hour)• ReviewCECLprovisioningrulesandrecentupdates• Identifykeyobjectivestoachieveincomplyingwith

thoserules• Derivebasicdesignprinciplesandsuccesscriteriafor

addressingrequirements

Conceptual Foundation (1hour)• Systematic(environmentinwhichtheentityoperates)

vsIdiosyncraticRisk(thosethatarespecifictotheborrower)

• PointinTime(PIT)vsThroughtheCycle(TTC)modeloutputs

• UnconditionalvsConditionaloutcomes• Includinginformationaboutpastevents,current

conditions,andreasonableandsupportableforecasts• Useofinternalandexternalinformation

Developing an CECL calculation framework for wholesale / corporate / commercial credit (1hour)• Formulatingdesigncriteriaforassessmentofmodels

suchasCompliance,Accuracy,SimplicityandScalability

• Exploringvariousmodeldevelopmentoptionse.g.TopDownAllocation,GradeTransitionMatrix,MacroandCreditfactormodels

• Assessingmodeldevelopmentoptionsagainstassessmentcriteriaandchoosingtherightoptionforeachcreditinstitution’sbespokeneeds

Deep dive into for market leading wholesale / corporate / commercial credit CECL methodologies(4hours)• Formulating,estimating,andvalidatingPD,LGD,and

EADmodels– Choicesandchallengesindevelopingmodelse.g.

Directcalibrationtodefaultandlosses,adaptingvendormodels,AgencyDirectandAgencyReplicationstylemodels,etc.

– AssessingPointinTime(PIT)vsThroughtheCycle(TTC)natureofmodels

– CorrectingmodeloutputtomakeitfullyPointinTime(PIT)

– CreatingtermstructureofPointinTime(PIT)PD,LGDandEADs

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

• CalculatingCECLsfromPD,LGD,andEADprojections

DAY TWO

Connecting Internal / Basel II PD, LGD, EAD – CCAR / Stress Testing – CECL models(3hours)• AdaptingInternal/BaselIIPD,LGD,EADmodelsfor

CECL• IntegratingStressTestingandCECLapproaches• Choicesandtechniques• WorkedExamples

End to End view (4hours)• DataandITsystems• Risk–Financedataintegration• Implementationtimelinesandefficiencyinproducing

CECLprovisions• BatchprocessingvsExpertInput• Involvementofeconomistsandseniorstakeholdersin

approvingfinalprovisionsnumbers• VolatilityinProvisions• MonitoringandReviewingCECLmodelsforchange• Theroadahead–QuantitativeImpactStudies,CECL

evolution

Who Should Attend? • CROs,CFOs• CCARModellingHeads/Leads/Quants• CreditRiskModellingHeads/Leads(1stLOD)• CreditRiskIndependentValidationHeads/Leads(2nd

LOD)• CreditRiskQuants/Analysts• BusinessAnalysts

• CreditRiskImplementationHeads/Leads• InternalAudit• RiskManagers• CECL,StressTesting&BaselII/IIIRelated

Professionals

About your Expert Trainers Dr. Scott D. AguaisisFounderandMDofAguaisandAssociates(AAA).Dr.Aguaishas25years’experiencedevelopinganddeliveringadvancedcreditanalyticssolutionstolargebankinginstitutions.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.HeholdsaneclecticmixofdegreesinEngineering,Math,BusinessandLaw.

http://www.aguaisandassociates.co.uk

BB-FT-PD-CMU459

Financial Markets Training

financial markets training division has been developed to offer courses of the highest calibre to industry practitioners. Our clients’ increasing demands for high quality hands-on training, drives our focused output. Thorough research ensures their applicability to your current business concerns.

Training courses are being offered on a world-wide basis from our production offices across Europe, the US, Australia and the Asia Pacific region.

This international network affords a global view of emerging training needs in the most dynamic industries.

financial markets training is a division of marcus evans. Together we offer specialised courses and conferences in a broad range of industries including capital markets and wholesale finance, legal and business, general finance, energy,

telecommunications and the media.

Clients who have benefited from financial training courses include

• AIB • ING • JPMorgan • SNS Bank • Central Bank of Ireland • PNC • Nomura • Morgan Stanley • Standard Chartered• Mediobanca • Mizuho • RBS • Sberbank • Nordea• Credit Agricole • Caixa bank • Santander • Danske Bank • Societe Generale

Register Now!Contactthe TrainingDivision

Register Now!ContacttheGFMITrainingDivision: