Bracing for Impact of IFRS 9: Impairment Principles, ECL Framework and Requirements

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.30

Birth and overview of IFRS 9

  • Brief history of accounting
  • The accounting institutions and the financial crisis
  • Overview of IFRS 9 principles
  • Phase 1, classification and measurement

Impairment principles

  • Overview of impairment requirements
  • The Expected Credit Losses concept
  • Staging and the notion of Significant Increase of Credit Risk
  • Lifetime PDs and forward-looking stance
  • Expected disclosures

12.30 - 13.30 Lunch

13.30 - 16.40 Credit risk modelling

  • Principles of credit risk measurement
  • Credit risk parameters
  • Measuring Probability of Default
  • Portfolio effects and concentration
  • Parametric approaches like IRB models
  • Non-parametric approaches like Credit VaR

Day Two

09.00 - 09.15 Recap

09.15 - 12.30 From credit risk modelling to impairment calculations

  • Assessing a Significant Increase in Credit Risk
  • From 1 year PDs to Multi-periods PDs
  • From Through-the-cycle to Point-in-Time risk parameters
  • Risk parameters sensitivity to the state of the economy
  • ECL as the weighted average of multiple scenarios
  • Cost-benefit analysis of possible simplifications
  • Steps towards a fully compliant impairment model

12.30 - 13.30 Lunch

13.30 - 16.30

IFRS 9 and the regulators

  • Ambition of BCBS on the matter
  • BCBS guidance on credit risk and accounting for ECL
  • Regulatory treatment of accounting provisions
  • Expected impact of the regulation

Implementation and governance challenges

  • Implementation challenges as seen by supervisors and banks
  • Implementation challenges as seen by consulting and IT firms
  • Governance challenges: Data and proxies, reinventing the impairment process, auditing models, IT and systems issues

Wrap up and conclusion

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