This document provides information about a two-day training course on developing credit loss forecasting methods for IFRS9 provisioning. The course will review IFRS9 rules and techniques for producing unbiased estimates of expected credit losses, building on existing models. Attendees will learn various modeling methods and how to design IFRS9 compliant solutions tailored to their institutions. The training is led by experts from Aguais and Associates who have extensive experience developing credit risk models for large banks.

1. financial markets training
training
IFRS9 Models,
Methodologies
and Implementation
“The clock is ticking to meet the new credit risk modelling
standards for IFRS 9”
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
Mr. Gaurav Chawla
Senior Consultant
Aguais and Associates
With support from
Dr. Scott D. Aguais
Founder and MD
Aguais and Associates
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:
Frankfurt, Germany
27-28 October 2016
Name, Tel: +
Email: @
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
The 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:
Name, Tel: +
Email: @
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 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 RBS, Gaurav worked on development of methodologies, credit risk models (Basel II AIRB PD, LGD, EAD); loss and stress testing models. He has also
developed/reviewed Market Risk, Economic Capital, PPNR, and natural hazard models. He holds an eclectic mix of degrees in Engineering, 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 this course
“The course is great, with enough useful details to facilitate
modeling for IFRS9 compliance”
TD Bank
“Interesting and useful course – provided some new ideas
for modelling”
Scotiabank
marcus evans
financial markets training
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Register now:
Contact the marcus evans Training Division
Name, Tel: +
Email: @