Introduction

In the face of an ever-changing financial landscape, the implementation of IFRS 9 (International Financial Reporting Standard 9) has fundamentally shifted how financial institutions account for and manage credit risk. Moving from an incurred loss to an expected loss model requires a deep understanding of complex financial instruments, macroeconomic factors, and sophisticated modeling techniques. This course is meticulously designed to provide you with the essential knowledge and practical skills to build, validate, and apply robust Expected Credit Loss (ECL) models, ensuring your institution's compliance and financial stability in an uncertain world.

This comprehensive program provides a deep dive into the theoretical and practical aspects of IFRS 9. You will explore the intricate three-stage approach, the development of probability of default (PD), loss given default (LGD), and exposure at default (EAD) models, and the integration of forward-looking macroeconomic information. The course emphasizes the latest techniques in data analysis, model validation, and the use of cutting-edge software to manage and report ECL. By the end of this training, you will be proficient in designing, implementing, and managing a modern IFRS 9-compliant ECL framework, safeguarding your institution against financial loss and regulatory scrutiny.

Duration: 10 Days

Target Audience

• Financial risk analysts
• Credit risk managers
• Accountants and auditors
• Quantitative analysts
• Data scientists
• Regulatory compliance officers
• Treasury professionals
• Chief risk officers
• Credit officers
• Financial model developers

Objectives

• Understand the core principles of IFRS 9.
• Master the three-stage ECL impairment model.
• Analyze the key drivers of credit loss.
• Learn to build and validate PD, LGD, and EAD models.
• Use macroeconomic data to adjust ECL estimates.
• Understand the regulatory reporting requirements.
• Optimize the data collection and management process.
• Develop a robust framework for model governance.
• Assess the impact of ECL on financial statements.
• Understand the ethical implications of financial modeling.

Course Modules

Module 1: Foundations of IFRS 9

• The shift from IAS 39 to IFRS 9
• The core principles of the standard
• The three-stage impairment model
• The role of financial instruments
• The impact of IFRS 9 on financial institutions

Module 2: The Three-Stage Approach

• Stage 1: Performing assets
• Stage 2: Underperforming assets
• Stage 3: Non-performing assets
• The criteria for transitioning between stages
• The importance of a robust staging process

Module 3: Probability of Default (PD) Modeling

• The concept of probability of default
• The types of PD models: scorecard, logistic regression, etc.
• The importance of historical data
• The role of forward-looking information
• The validation and back-testing of PD models

Module 4: Loss Given Default (LGD) Modeling

• The concept of loss given default
• The types of LGD models
• The role of collateral and security
• The importance of a robust recovery process
• The validation and back-testing of LGD models

Module 5: Exposure at Default (EAD) Modeling

• The concept of exposure at default
• The types of EAD models
• The treatment of revolving credit facilities
• The role of off-balance sheet items
• The validation and back-testing of EAD models

Module 6: Macroeconomic Overlay

• The role of forward-looking macroeconomic information
• The types of macroeconomic variables
• The use of scenario analysis
• The importance of a consistent approach
• The challenges of forecasting macroeconomic data

Module 7: Data Management and Governance

• The importance of data quality
• The role of data governance
• The use of data warehouses and ETL processes
• The challenges of a fragmented data landscape
• The importance of a single source of truth

Module 8: Model Validation

• The principles of model validation
• The importance of an independent validation function
• The types of validation tests
• The role of a model validation report
• The importance of a clear and concise validation process

Module 9: IFRS 9 Reporting and Disclosures

• The key reporting requirements of IFRS 9
• The types of disclosures
• The importance of a consistent reporting framework
• The role of automation in reporting
• The challenges of communicating model results to stakeholders

Module 10: Capstone Project Part 1: Design

• Defining a specific portfolio for modeling
• Mapping the data requirements and model architecture
• Outlining the key technical and analytical requirements
• Creating a detailed project plan
• Presenting the design to a mock review board

Module 11: Capstone Project Part 2: Development

• Implementing a PD model for the chosen portfolio
• Using a model to evaluate a sample of accounts
• Analyzing the model's performance on key metrics
• Building a presentation to explain the analysis
• Documenting all assumptions and data sources

Module 12: Capstone Project Part 3: Presentation

• Presenting the full ECL analysis of the chosen portfolio
• Discussing the risks and benefits of the model
• Proposing a plan for model improvement
• Q&A and peer feedback session
• Receiving expert recommendations and insights

Module 13: Advanced Modeling Techniques

• The use of machine learning for ECL modeling
• The role of neural networks
• The use of big data in modeling
• The future of ECL modeling
• The importance of a continuous learning mindset

Module 14: Case Studies

• A case study of a bank's IFRS 9 implementation
• A case study of a large corporation's accounting process
• A case study of a financial institution's regulatory challenges
• The lessons learned from past credit cycles
• The importance of a robust framework

Module 15: Course Certification

• A final comprehensive assessment
• A final review of key concepts and objectives
• Issuance of a certificate of completion
• Post-course career guidance and networking
• A final Q&A with instructors

Training Approach

This course will be delivered by our skilled trainers who have vast knowledge and experience as expert professionals in the fields. The course is taught in English and through a mix of theory, practical activities, group discussion and case studies. Course manuals and additional training materials will be provided to the participants upon completion of the training.

Tailor-Made Course

This course can also be tailor-made to meet organization requirement. For further inquiries, please contact us on: Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Training Venue

The training will be held at our Skills for Africa Training Institute Training Centre. We also offer training for a group at requested location all over the world. The course fee covers the course tuition, training materials, two break refreshments, and buffet lunch.

Visa application, travel expenses, airport transfers, dinners, accommodation, insurance, and other personal expenses are catered by the participant

Certification

Participants will be issued with Skills for Africa Training Institute certificate upon completion of this course.

Airport Pickup and Accommodation

Airport pickup and accommodation is arranged upon request. For booking contact our Training Coordinator through Email: info@skillsforafrica.org, training@skillsforafrica.org  Tel: +254 702 249 449

Terms of Payment: Unless otherwise agreed between the two parties’ payment of the course fee should be done 10 working days before commencement of the training.