1. financial markets training
training
IFRS9 Models,
Methodologies
and Implementation
“Changes for IFRS 9 models need to be made this year
to meet the impending deadlines”
A two-day course discussing the credit-loss-forecasting methods needed
for IFRS9 provisioning and the development of those methods in a way
that takes advantage of existing, Basel-II and stress-testing models.
Your Expert Trainers
Dr. Scott D. Aguais
Founder and MD
and Mr. Gaurav Chawla
Senior Consultant
Aguais and Associates
(an affiliate of Deloitte)
Key Benefits Include
• Pre-course questionnaire to establish
your individual and business concerns
• Sessions are supported by the use
of practical case studies that will
allow attendees to better understand
the application of key issues in practice
• Comprehensive take-away
course documentation
Companies who have attended
marcus evans financial
training include:
• AIB • ING • JPMorgan
• Central Bank of Ireland • PNC
• SNS Bank • Nomura • Morgan Stanley
• Standard Chartered • Mediobanca
• Mizuho • RBS • Sberbank • Nordea
• Credit Agricole • Caixa bank
• Santander • Danske Bank
• Societe Generale
The course
IFRS9 calls for a loss allowance on each unimpaired, banking-book, credit exposure in the amount
of the present value of expected credit losses (ECLs) over either the exposure’s remaining life or the next
12 months. The requirement of lifetime or 12-month loss in turn depends on whether the exposure’s credit risk
today compared with its credit risk at origination has increased “significantly” to a position in excess of “low
credit risk.” The loss-forecasting requirement adds a new dimension to provisioning and so many accounting
and finance divisions will need to get familiar with techniques formerly known only to risk professions.
This two-day course will review the IFRS9 provisioning rules and describe ways of producing unbiased
probability weighted estimates of ECLs, building upon an institution’s existing models. We provide insights
into challenges of developing compliant solutions. We discuss techniques for satisfying novel requirements
like “significant deterioration” and “unbiased probability weighted forecasts”. At the end of the session,
participants would have seen and discussed various tools and techniques which will help them design IFRS9
solutions that work for their own institutions.
How will you benefit
• Understand the regulatory evolution of credit risk modelling requirements from Basel II to Stress
Testing to IFRS9
• Learn and discuss various methods and techniques for developing IFRS9 compliant models using
an institution’s existing model suite
• Learn from trainer’s and other participant’s experience in developing models
• Discover techniques for Significant Deterioration (three stage allocation) requirements
• Understand implementation perspective including forecasting, batch processing, provisioning,
Expert Credit Judgement, etc.
Register Now:
Contact the marcus evans Training Division:
14th - 15th April 2016
London, UK
Gareth Banks, Tel: +44 (0) 203 002 3400
Email: garethb@marcusevansuk.com
www.me.financialtraining.com

2. G
financial markets training
Programme
DAY ONE
Regulatory Overview (1 hour)
• Review IFRS9 provisioning rules and recent updates
• Identify key objectives to achieve in complying with those rules
• Derive basic design principles and success criteria for
addressing requirements
Conceptual Foundation (1 hour)
• Systematic vs Idiosyncratic Risk
• Point in Time (PIT) vs Through the Cycle (TTC) model outputs
• Unconditional vs Conditional outcomes
• Adjustment to current credit conditions, forward looking
and probability weighted
Developing an ECL calculation framework for wholesale / corporate
/ commercial credit (1 hour)
• Formulating design criteria for assessment of models such as Compliance,
Accuracy, Simplicity and Scalability
• Exploring various model development options e.g. Top Down Allocation,
Grade Transition Matrix, Macro and Credit factor models
• Assessing model development options against assessment criteria
and choosing the right option for each credit institution’s bespoke needs
Deep dive into for market leading wholesale / corporate /
commercial credit ECL methodologies (4 hours)
• Formulating, estimating, and validating PD, LGD, and EAD models
– Choices and challenges in developing models e.g. Direct calibration
to default and losses, adapting vendor models, Agency Direct and Agency
Replication style models, etc.
– Assessing Point in Time (PIT) vs Through the Cycle (TTC) nature of models
– Correcting model output to make it fully Point in Time (PIT)
– Creating term structure of Point in Time (PIT) PD, LGD and EADs
• Projecting loss outcomes
– Credit-factor-driver models
– Macro-economic-driver models
– Translating factor forecasts to loss projections
– Conditional vs Unconditional loss outcomes
• Calculating ECLs from PD, LGD, and EAD projections
DAY TWO
IFRS9, Stress Testing and Basel II models (1 hour)
• Adapting Basel II models for IFRS9
• Integrating ST and IFRS9 approaches
Significant Deterioration (2 hours)
• Stage Allocation
• Choices for Stage allocation
– Target triggers: Lifetime PDs
– Interim triggers: 12 month PDs, based on grades, watch list categories, etc.
• Choices for deriving triggers
• Significant increase threshold levels
• Low credit risk threshold
• Worked Examples
End to End view (4 hours)
• Data and IT systems
• Risk – Finance data integration
• Implementation timelines and efficiency in producing IFRS9 provisions
• Batch processing vs Expert Input
• Involvement of economists and senior stakeholders in approving final
provisions numbers
• Volatility in Provisions
• Monitoring and Reviewing IFRS9 models for change
• The road ahead – Quantitative Impact Studies, IFRS9 evolution
IFRS9 Models, Methodologies and Implementation
Delegate challenges/ solutions
Your problems
• Understanding IFRS9 requirements and building the needed risk models
on the basis of currently available data and models with minimal re-work
and disruption
• Avoiding wasted effort by learning from other institution’s experience
in developing solutions
• Getting an integrated perspective, both IFRS9 end-to-end from data –
models – implementation and across different regulatory model types Basel
II – Stress Testing – IFRS9
Our Solutions
• We provide a broad review of IFRS9 requirements and structure
the discussion in terms of design principles. We help establish priorities
for taking advantage of existing data and models, with the objective
of minimising re-work. We discuss various modelling options available
to an institution
• We present case studies illustrating IFRS9 solutions, challenges and obstacles
in creating those solutions in a manner that accounts for each institution’s
special circumstances
• We provide an integrated perspective of IFRS9, providing an end-to-end view
from data – models – implementation and discuss challenges which require
rework of the approach. We also discuss ways to ensure consistency in capital
requirements predicted by Basel II, Stress Testing and IFRS9 models.
Register Now:
Contact the marcus evans Training Division:
Gareth Banks, Tel: +44 (0) 203 002 3400
Email: garethb@marcusevansuk.com
www.me.financialtraining.com

3. about…
About your expert trainers
This training is led by Aguais and Associates (AAA) team. AAA is an affiliate of Deloitte UK. The team has pioneered the development and application
of Point-in-Time (PIT) and Through-the-Cycle (TTC) risk measures. Since 2004 AAA have developed innovative solutions within banks and now they are
bringing their proprietary analytic expertise and software solutions to the market. AAA advanced PIT-TTC solutions support financial institution’s key
Risk and Regulatory objectives - Capital Management, IFRS9 and CECL to support Provisioning, and advanced Regulatory Stress Testing.
Dr. Scott D. Aguais is Founder and MD of Aguais and Associates (AAA). Dr. Aguais has 25 years experience developing and delivering advanced credit
analytics solutions to large banking institutions. He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS and
KPMG. He then moved on to Algorithmics and has spent the last 12 years developing advanced credit models and supporting the successful Basel II Waivers
at Barclays Capital and Royal Bank of Scotland. During this time Dr. Aguais and his team pioneered the design, development and implementation of the
first advanced Dual Ratings approach using both Point-in-Time (PIT) and Through-the-Cycle (TTC) risk measures to support a variety of financial business
objectives.
Gaurav Chawla is Senior Consultant - Models and Methodologies at Aguais and Associates (AAA). Gaurav leads the application of AAA built techniques
at various client’s sites. Gaurav has 13+ years of experience building risk models across large banks and academic institutions. In 2015, Gaurav delivered
a customized version of AAA’s flagship methodology in a leading UK commercial bank. This included rapid prototyping, methodology demonstration
and conducting Quantitative Impact Studies across all portfolios. In the past, Gaurav led the methodology and model development team at GE Capital
responsible for developing CCAR and IFRS9 focused credit risk models. At Royal Bank of Scotland, Gaurav pioneered the development of Point-in-Time (PIT)
and Through-the-Cycle (TTC) methodologies, credit risk models (Basel II AIRB PD, LGD, EAD); loss and stress testing models and has published extensively
in this area. He has also developed and reviewed Market Risk, Economic Capital, PPNR, and natural hazard models. He holds an eclectic mix of degrees
inEngineering, Math, Business and Law.
http://www.aguaisandassociates.co.uk
Who should attend?
• CROs, CFOs
• Credit Risk Modelling Heads / Leads (1st
Line of Defence)
• Credit Risk Independent Validation Heads / Leads (2nd
Line of Defence)
• Credit Risk Quants / Analysts
• Business Analysts
• Credit Risk Implementation Heads / Leads
• Internal Audit
• Risk Managers
• IFRS9, Stress Testing & Basel II Related Professionals
What our clients are saying
about marcus evans events
“Very good. Broad field of theory and practical issues put together.”
Nomura
“Great material to go with a well structured and interesting course.
The course tutor was really communicative, answered all questions
I had.”
Societe Generale
“A great event for practitioners”
Citigroup
“Good and concise delivery. Course was well structured.”
Lloyds Bank
marcus evans
financial markets training
marcus evans financial markets training division has been developed
to offer courses of the highest calibre to industry practitioners. Our clients’
increasing demands for high quality hands-on training, drives our focused
output. Thorough research ensures their applicability to your current
business concerns.
Training courses are being offered on a world-wide basis from our
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region. This international network affords a global view of emerging
training needs in the most dynamic industries.
marcus evans financial markets training is a division of marcus evans.
Together we offer specialised courses and conferences in a broad range
of industries including capital markets and wholesale finance, legal
and business, general finance, energy, telecommunications and the media.
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Benefit from tailored courses
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Register now:
Contact the marcus evans Training Division
Gareth Banks, Tel: +44 (0) 203 002 3400
Email: garethb@marcusevansuk.com