UK Europe EMEA GCC Time Zones
CPEs: 24
Instructor: Dennis Cox
Level: Intermediate
Tuition: £2,995.00
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NEW Managing IFRS9 and Model Risk RR1234

Location: UK Europe EMEA GCC Time Zones

First Date: June 25 - 27 2024

Duration: 3 days

Programme Director: Dennis Cox

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2024 Live, on-site and Live Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to bring this course in house, train your team or 1:1? Simply contact us for significant cost savings and dates best suited to meet your specific needs.

Agenda Highlights

Session 1:Framework of IFRS 9

Session 2:  IFRS 9 under Crisis

Session 3:  Managing IFRS 9 Model Risk

Session 4: IFRS 9 Model Validation

Session 5:  Key Specific IFRS 9 Model Validation Issues 1

Session 6: Key Specific IFRS 9 Model Validation Issues 2

Session 7: Validating Low Default Portfolios

Session 8: Managing and Validating IFRS 9 related Model Performance

Session 9: Stress Testing and Reporting

Session 10: Summary, discussion, and Q&A


IFRS 9 changes the way that banks look at provisioning, ensuring that risk managers take into account lifecycle loss values based on historical data. This is always complex and reliant upon historic data sets which can be used to predict future expectations.  However, the current recent economic environment and crises have impacted the quality of such data in having good predictive ability.

This timely course looks at the modelling obligations arising from IFRS 9 and seeks to ensure that the key issues regarding data discontinuities are properly taken into account.

Who Should Attend

Designed primarily for the following roles, but is often of interest to variety of auxiliary functions in an organisation:

  • Finance staff and management
  • Risk management and modelling staff and management
  • Model validation staff and management
  • Internal control and internal audit staff and management

Additional Course Information

What Does It Cover?

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

Learning Objectives

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.

Social Learning & Methods

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.)


NEW Managing IFRS9 and Model Risk

Course Fee

Apply 10% discount code RISK10 by December 15, 2023 at check-out

Course Fee (per person):
GBP £2,995.00 (+ UK VAT when applicable)

Number of delegates:

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