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IFRS9: Credit Risk Requirements and Reporting
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IFRS9: Credit Risk Requirements and Reporting
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainers
  • 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.
  • Trainers

    RAJAT BHATIA

    Mr Rajat Bhatia is an international investment banker with 27+ years of global experience with the world’s top tier investment banks. He has worked for Lehman Brothers, London, Merrill Lynch Capital Markets, Hong Kong, Citigroup Global Asset Management, London, Citigroup India, Williams Energy in the USA and Booz Allen & Hamilton, Sydney. Mr Bhatia is the Founder & CEO of Neural Capital, a boutique firm that he started in the United States in 2006. Neural Capital specializes in developing quantitative trading strategies for the global financial markets and advising early stage and start-up companies on raising capital from venture capitalists and private equity firms. He is also the Dean of the School of Financial Engineering at IIQF and the Chairman of the Board of Advisors of Invenzo Labs.
    He has taught courses on Financial Modeling, Corporate Valuation, Derivatives, Portfolio Management, Alternative Investments, Equity Markets, Fixed Income Markets, Swaps and Commodity Markets at global financial institutions and business schools in New York, India, Singapore and London.

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