Workshop: Basel IRB & IFRS 9 Credit Risk Modelling

IFRS9 “financial instruments accounting” has been described as the biggest accounting change for a decade. Indeed, some firms are seeing this change as being more complex than the initial adoption of IFRS reporting.

The development of an expected credit loss framework has fundamentally changed banks’ provisioning and will have significant impacts on the balance sheet as well. In addition, it has had a significant impact on banks’ credit risk management functions.

There is also a big focus on credit risk modelling generally as a result of the finalisation of the Basel 4 proposals, the pronouncements from the ECB, the EBA and the PRA and the need to develop approaches to stress testing that incorporate IFRS9 requirements.

• Explore key lessons learnt from the implementation of IFRS9
• Understand what others are doing to enhance IFRS9 models as they move to generation 2 approaches during 2018
• Explore the new Basel IRB credit risk modelling requirements
• Examine how IFRS9 models will need to be adapted for current and future stress testing exercises
• Explore forecasting and driver based planning in a post-IFRS9 world
• Examine how internal model governance frameworks will need to evolve further following IFRS9 implementation
• Learn about other international developments in this area and how developments in the UK fit with the global agenda

This workshop has been designed to provide participants with an understanding of the collective experience of IFRS9 implementation over the past few years and also where people are looking to develop their credit risk methodologies further in 2018/2019 as they explore generation 2 and 3 enhancements.

It will explore the interactions between IFRS9 and other credit risk modelling activities arising from the Basel proposals, the European regulatory enhancements to IRB and the need to include IFRS9 in stress testing modelling.

By providing participants with an opportunity to explore and discuss with industry peers and workshop leaders, the strategies, common challenges and practical solutions to delivering industry leading practice in the area of IFRS9 expected credit loss modelling and broader IRB and stress testing modelling, participants will be able to understand where the industry is heading in 2018.

The workshop is designed for professionals from:

• Risk (particularly credit risk)
• Finance
• Capital Planning

within:

• Banks and Building Societies with Retail and Wholesale portfolios

• Welcome and introduction
• Background and update on common IFRS9 challenges and approaches
• Basel IRB developments
• Stress testing
• Model validation and governance
• What firms should be doing now?
• Examining lessons learnt

This workshop is designed to be participative throughout. The agenda will combine key formal presentations, case studies and syndicate discussion sessions. There will be ample opportunity for delegates to benchmark experiences with industry peers and raise issues of most concern to their organisation, either confidentially or in open session.

• Registration: 09:00
• Workshop Start: 09:30
• Workshop Close: 16:30