NUS RMI IFRS9 for Loan Impairment Workshop

Program Overview

IFRS9 for Loan Impairment is a comprehensive introduction to the revised accounting standards for impaired loans that has been adopted by the majority of countries for implementation before 2020.

The impacts of IFRS9 are significant in terms of both the quantum of provisions that banks are required to hold as well as the methodology used to calculate required provision levels. The challenges are many and are not just limited to Banks that are less mature in their approach and usage of analytics. Data availability and capture, defining triggers for a significant increase in credit risk, and calculating lifetime expected loss are just a few of challenges that all banks will face as they move towards compliance with IFRS9.

IFRS9 for Loan Impairment will provide a solid footing of how the new accounting standard will impact their business through a combination of modules and activities that are designed to both enhance understanding and stimulate thought amongst attendees.

Target Audience

• Risk managers
• Business and risk analytics teams
• Product managers
• Finance managers

Program Agenda

Day 1
Introduction to IFRS9

• Definition of provisioning and linkages to capital
• Three stages of provisioning under IFRS9, introduces the key concepts of 12 month ECL, life time ECL and Significant Increase in Credit Risk
• Differences between IFRS9 and IAS39
• Impact of IFRS9 – P&L volatility, data and systems, monitoring, portfolio insights
• Differences between IFRS9 and IRB models

Approaches to PD modelling

• Definition of default
• Data requirements
• Transition matrices
• Survival analysis
• Scorecards
• IRB PD models
• Pros and cons of each
• Considerations when deciding which approach to use
• Drivers of PD
• Illustrative examples and class activity

EAD and LGD modelling

• Data requirements
• Modelling methodology
• Drivers of EAD and LGD
• Survival analysis
• Scorecards
• IRB PD models
• Pros and cons of each
• Drivers of PD
• Illustrative examples and class activity

EAD and LGD modelling

• Definition of EAD and LGD
• Data requirements
• Modelling methodology
• Drivers of EAD and LGD
• Illustrative examples and class activity

Day 2
Significant Increase in Credit Risk

• Approaches allowed under IFRS9
• Implications of the approach taken in terms of complexity, P&L volatility
• Inclusion of Economic indicators
• Managing P&L Volatility
• Illustrative examples and class activity

Approval and Monitioring

• Governance process
• PD , LGD and EAD monitoring
• Triggers for recalibrations
• Monitoring observed versus predicted lifetime ECL
• Illustrative examples and class activity

Case Studies

• Illustrative case studies containing scenarios for class to work through
• How will the scenario impact ECL? Would it be a trigger for lifetime ECL? How to mitigate the impacts? What proactive mitigation could have been in place?

Speakers

Dr Yang Yimin