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IFRS 9 Expected Credit Loss (ECL) Modelling
Overview
1 day course on IFRS 9 expected credit loss modelling, both for financial statement and capital stress testing purposes.
Learning Objectives
Learn from applied case studies how to model IFRS 9 expected credit losses (ECL) for Stage 1, 2 and 3 loans – modelling 12 month point-in-time (PIT) probability of default (PD), lifetime PD, loss given default (LGD) and exposure at default (EAD)
Learn how to calculate ECL provisions in a capital stress test
Learn sensitivity of ECL to where Significant Increase in Credit Risk (SICR) threshold is set and to migration of loans from Stage 1 to 2 in a macroeconomic downturn
Who the course is for
Credit risk management
Quants
ALM staff
Finance
Internal audit
External auditors
Bank investors – equity and credit investors
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