Available on Demand

Experience the highly-interactive expert-led social learning through Virtual Classroom via Risktech & Advisory Limited.

All our 2023 Live, Virtual and Face-to-Face 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 and/or at your location anywhere worldwide for any sized group or 1:1 tutorial? Simply contact us for a prompt and courteous reply offering significant cost savings and dates to meet your specific requirements.

Sessions 1 and 2: Background to IAS 39 (which preceded IFRS 9) and why it was considered relevant, why was IFRS 9 implemented, what are the requirements?

Sessions 3 and 4: Important features of credit impairment requirement, how do the Basel regulatory capital rules fit in? and interpretation of the accounting requirements of IFRS 9 in a model context

Sessions 5 and 6: Estimation (and vagaries) of the probability of default, loss given default, exposure at default, how are discount rates estimated – what is appropriate and acceptable? SICR – how is it estimated and what are the rules governing curing and restructuring

Session 7 and 8: Worked examples of how to implement these rules: sourcing of PDs, scaling of PDs in time, how to deal with PDs with curing built-in, payment holidays, LGD estimation in the absence of LGD data, SICR calculations, simple calculations underlying the overall ECL estimate.

IFRS 9 is an International Financial Reporting Standard (IFRS) published by International Accounting Standards Board (IASB) which addresses accounting for financial instruments. It addresses the classification and measurement of financial instruments, hedge accounting and impairments.

This course focuses on the last of these – credit impairments and how they are measured, evaluated, and assessed.

Delegates involved in IFRS9 models, validation, regulatory compliance, and reporting roles will gain practical essential knowledge about, credit risk and credit impairments, and its application to real-world project phases and tasks.

This course is designed for credit risk managers, quantitative credit analysts and auditors.

What are the IFRS9 rules and where did they come from, why are they important, what do they address?, Important features of credit impairment requirement, Background – how do the Basel regulatory capital rules fit in?, Interpretation of the accounting requirements of IFRS 9 in a model context, Components of expected credit losses, Probabilities of the default 12 months and lifetime, Point in time and through the cycle models, including Vasicek single and multifactor models, mode, Curing, Restructuring, Liquidation, Loss given default, Downturn, LGD, Through the cycle LGD, Point in time LGD, Exposure at default, Effective interest rates, Staging, The three stages, How accounts are assigned to stages, Significant increase in credit risk – how this may be calculated and assessed, Forward-looking information, macroeconomic data, scenario assignment, weighting scenarios, stress testing IFRS 9 data and much more.

Presented by a risk expert, quantitative specialist, banker, and implementation guru, while the rules are important more so is discovering the impact and the practical, real-life challenges of implementing the new guidance.

At the end of the course, delegates will gain knowledge, skills, and approaches as to

• The background of the IFRS 9 accounting standards – where they arose from and the major changes that have occurred since IAS 39
• What are the components of the IFRS 9 rules (PD, LGD, EAD, discounting factors)
• What are the underlying concepts such as staging and significant increases in credit risk (SICR)
• Worked examples of how to calculate expected credit losses – how the equations and calculations arise, how are PDs and LGDs estimated, what are the rules governing discounting, how is SICR calculated, how should institutions deal with curing and restructuring and payment holidays in the wake of COVID-19.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, audit writing programmes, 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.)