IFRS 9 CREDIT RISK MODELLING AND VALIDATION

Hands-on Masterclass with R

28th – 29th November 2019 | Pullman Bangkok, Thailand

Day(s)

:

Hour(s)

:

Minute(s)

:

Second(s)

OVERVIEW

The course will provide attendees a comprehensive knowledge of IFRS9 credit risk modelling. A hands-on approach is followed by providing both the theoretical and practical toolkit to use on a day-by-day basis. The open-source statistical software R paves the way for grasping all details required to create customized analysis.

The key instruments used for modelling are explored. A wide use of the software R characterizes the course from the very beginning. In day one, the emphasis is on developing point-in-time Probability of Default (PD) and develop lifetime PD models. he focus shifts towards the other key elements for computing Expected Credit Losses (ECLs). Exposure at Default (EAD) modelling is studied by posing specific attention on behavioural modelling. The key modelling loss given default (LGD) elements are then presented in order to pave the way for ECL computation. Scenario analysis together with staging allocation are at the very heart of the IFRS9 requirements. On this, a hands-on perspective is followed in an attempt to bring to common factor the most relevant experiences among different countries. The last part of day two points out the key issue one needs to bear in mind when implementing an IFRS9 framework. Attention is devoted both to managerial as well as the audit perspectives.

KEY  TAKEAWAYS

9

Working-level knowledge of modelling and corresponding hands-on R software development.

9

Working knowledge of lifetime PD modelling based on generalised linear modelling (GLM)
and survival analysis based on R implementation capability.

9

Knowledge of the key EAD modelling techniques for wholesale as well as retail products.

9

Knowledge of LGD structural modelling technique and understanding of regression
modelling (e.g., Tobit regression).

9

Working-level-knowledge of staging allocation process and practical implementation.

9

Deep understanding of ECL computational mechanisms.

A-17-10 Tower A
Menara UOA Bangsar
No. 5 Jalan Bangsar Utama 1,
59000, Kuala Lumpur