Session 1: Framework of IFRS 9

• 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

Session 2:  IFRS 9 under Crisis

• Crisis – what crisis?
• What are the key challenges?
• Which businesses and areas are most impacted?
• The consequence of the impact
• How to deal with data concerns
• Considering data trend analysis
• Implementing tactical solutions
• Considering models and validation
• Returning to normality

Session 3:  Managing IFRS 9 Model Risk

• Goals and objectives of the model
• Model governance and approval
• Conceptual soundness under crisis
• Review of methodology
• Robustness, consistency and accuracy
• Meaningful differentiation of risk
• Selection of variables
• Developing risk pools
• Changes in the economic and credit environment under crisis

o Overall

o At risk factor level

o At the business or strategy level

Session 4: IFRS 9 Model Validation

• 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

Session 5:  Key Specific IFRS 9 Model Validation Issues 1

• The three phases and their impact on model validation
• Evaluation of risk stage determination
• Review of the 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 under crisis
• Validating correlation
• Validating data quality and aggregation
• Validating LGD models

Session 6: Key Specific IFRS 9 Model Validation Issues 2

• Validating economic input data
• Validating EAD and data stability
• Different approaches and techniques
• Exposure weighted measures
• Validating qualitative data

Session 7: Validating Low Default Portfolios

• 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

Session 8: Managing and Validating IFRS 9 related Model Performance 

• Reporting and monitoring model performance
• Use of performance thresholds
• Validation of performance data
• Validation of excesses and actions
• Validation of model recalibration
• Incorporation of forward-looking guidance
• Manual intervention and overrides
• Model monitoring – short and long term

Session 9: Stress Testing and Reporting

• 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

Session 10: Summary, discussion, and Q&A

By the conclusion of this event delegates will have gained specialist technical, behavioural knowledge, with practical techniques and applications in the workplace, specifically an

• Understanding of the key issues relating to IFRS 9
• Appreciation as to how crises impact data quality
• Indication of the potential solutions that are available.
• Appreciation of the key issues relating to model validation
• Recognition of the importance of stress testing and its application.

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)