Managing IFRS 9 and Credit Modelling

Course objectives

• Apply IFRS 9 classification and measurement to financial assets
• Operate the three stage impairment model and the transfer criteria between stages
• Assess a significant increase in credit risk consistently
• Build probability of default, loss given default and exposure at default components
• Incorporate forward looking information and macroeconomic scenarios
• Validate a model and evidence the validation
• Meet the disclosure requirements and explain movements to an auditor

Who should attend

• Credit risk and modelling professionals
• Financial accountants and reporting staff in banking
• Internal and external auditors
• Regulators and supervisors
• Finance managers in lending institutions

Course outline

1. 01From incurred loss to expected credit loss, and what changed in practice
2. 02Classification and measurement of financial assets
3. 03The three stage impairment model
4. 04Significant increase in credit risk and staging consistency
5. 05Probability of default estimation
6. 06Loss given default and exposure at default
7. 07Forward looking information and macroeconomic scenarios
8. 08Model validation, governance and documentation
9. 09Disclosure and explaining movements

Scheduled sessions