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  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS
    DATE
    7 – 8 June 2017
    TIME
    9:00 am – 5:00 pm
    VENUE
    Asian Banking School
    SIDC CPE
    10
    CPE Points
    This 2-day interactive programme will focus on the specific challenges faced when dealing with the new requirements of IFRS9. Specifically, in the impairment area, where Accounting/Finance and Risk/Valuation/Modelling departments are required to align in a more robust fashion. Various perspectives like models, data and resources must seamlessly operate to ensure that overall risks are managed and mitigated. This programme will focus on the credit risk aspects of IFRS9 reporting and other requirements, and is designed to provide participants with a broad overview of IFRS9. At the same time, it will also delve into some details on issues related to credit risk modelling requirements. Extensive case studies, examples and discussions will feature throughout the programme.
    LEARNING LEVEL
    Intermediate
    Programme Fee*
    AICB / MIBA member
    MYR
    5,500
    / PAX
    Non-member
    MYR
    6,000
    / PAX
    *inclusive of GST
    Jointly with:
  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will:

    • Appreciate the overall context and need of blending risk and finance/accounting data, models and resources for a successful transition to IFRS9

    • Understand the challenges faced with regards to the IFRS9 impairment requirements/expected loss model, and appreciate different solutions for compliance

    • Comprehend how to leverage existing credit risk modelling to comply with IFRS9 requirements


     
    PROGRAMME OUTLINE
    Day 1

    Overview and related initiatives

    • Overview of IFRS9 streams
    • Classification & measurement
    • Impairment
    • Marco Hedge Accounting


    The 3 Stages of the IFRS9 Expected Loss Model

    • The 3-stages and stage assessment
    • Provisioning and interest revenue recognition for each stage
    •  Assessing significant increase in credit risk
    • Incorporating forward-looking scenarios
    • Individual vs. collective assessment

    CASE STUDY: Stage assessment

     
    Expected Credit Loss Estimation

    • IFRS9 requirements for ECL estimation
    • ECL estimation deconstructed
    • Economic Scenario Model
    • Incorporating forward looking macro scenarios
    • Linking macroeconomic scenarios to ECL parameters (PD/LGD)
    • Credit Loss Estimation Model
    • Estimating future expected cash shortfalls based on estimated parameter scenarios
    • Life-time expected loss vs. 12M-expected loss
    • PD, LGD and EAD Modelling
    • Direct vs indirect methods for IFRS9 PIT parameter estimation
    • Applicable discount rates

    CASE STUDY: ECL Calculation under the PDxLGDxEAD approach
    Day 2

    Recap of DAY 1


    Loan Loss Provisioning under IFRS9 vs IAS39

    • Incurred vs. expected loss model
    • LLPs under different accounting regimes
    • Development of LLPs in the 3 Stages of IFRS9
    • How to deal with increased volatility of LLPs and annual result

    CASE STUDY: Impairment and provisioning under IFRS9 vs IAS39


    Impact of IFRS9 on Regulatory Capital

    • Accounting (IFRS) vs Regulatory (Basel) Requirements
    • Basel II/III Framework recap
    • IFRS9 impacts on regulatory capital (Pillar I)
    • Provisions vs Regulatory Capital
    • Impacts under SA vs. IRB approach
    • Expected Loss Calculation IFRS9 vs Basel IRB
    • IFRS9 interaction with Basel Pillar II

    CASE STUDY: IFRS9 Effects on Regulatory Capital


    Integrating IFRS9 into the overall Enterprise-wide Risk Management Framework

    • Overview of a holistic ERM Framework
    • IFRS9 specific considerations regarding ERM
    • Governance implications
    • Impact on IT Architecture and Data Management
    • Design criteria for assessment of models
    • Choices and challenges in developing models
    • Adapting Internal / Basel PD, LGD, EAD models for IFRS9
    • Risk – Finance data integration

    CASE STUDY: IFRS9 with overall ERM Framework
  • Methodology
    The programme is wholly interactive and participants will be fully involved through discussions, exercises and case studies. Participants are required to bring their laptop with Excel to do some of the exercises and case studies.
  • Participant Profile
    The programme is intended to provide bankers with a working knowledge of IFRS9 with regards to managing credit risks. It is suitable for anyone who is keen to find out more about this topic and specifically beneficial for managers in functions related to Accounting/Finance, Audit, Risk Management within the company who is involved in either IFRS9 implementation and/or credit risk management.
  • Trainer
    Dr. Christopher Goh
    Dr Christopher Goh has 25 years of hard-won experience in treasury management – with a rare blend of investment, wealth, treasury, pricing and investment valuation. He is a professional with extensive experience in private equity, M&A, credit analysis, hedge fund investment, behavioural finance and risk management from buy and sell side on equity, index, derivatives, hybrid, fixed interest, currency, gold, credit servicing high net worth, corporate and institutional clients globally.

    Dr Goh is passionate about the financial markets with excellent technical knowledge on a broad range of financial instruments especially exotic derivatives and has practical experience gained through diverse economic cycles. He worked for 6 different banks over a period of 25 years across 6 different cultures, business practices and management styles. This gave him in-depth knowledge in handling clients and managing staff from diverse cultural backgrounds. He has travelled to more than 40 international cities in the past 13 years to conduct international workshops and provide consultancy. His experience is built on a diverse range of assignments covering technical-methodical and strategic advisory projects on enterprise wide risk management framework, and reviews, in his capacity as Chief Risk Officer in Asia Pacific responsible for 5 countries.
    Dr Goh is also an Adjunct Visiting Professor at Shanghai JiaoTong University, Central University of Finance and Economics (Beijing), ZhongShan University (GuangZhou), Petra Christian University (Surabaya) and SP Jain (Dubai and Singapore campus) on banking certification and EMBA courses.
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