Course Agenda

Agenda

Understanding and Preparing for CECL

Day 1

Wednesday 23rd May 2018

09:00

Registration and refreshments

09:30

CECL – Key Challenges & Opportunities

  • Welcome, introductions
  • CECL overview & changes from ALLL
  • Why are the FASB implementing?
  • Regulatory guidance
  • Building blocks – how to go about planning a smooth roll out
  • Evolutionary nature of a principal based regulation

Speaker: Fang Du, Supervision & Regulation, The Federal Reserve Board

11:00

Morning break

11:30

Strategic Implications of CECL

  • Timing of potential loss recognition
  • Impact of CECL on earnings volatility
  • Impact of CECL on regulatory capital
  • Impact of CECL reserving on loan pricing and portfolio strategy

Speaker: Steve Lindo, Principal SRL Advisory Services & Lead Instructor/Course Developer, Columbia University

13:00

Lunch

14:00

Loss Forecasting Methodology under CECL 

  • Generating macro-economic forecasts
  • Increased accuracy of benign period and near term forecasts
  • Prepayment forecasting
  • How to review from forecasts to historic estimates
  • Forecasting for the future
  • Effective implementation strategies
  • LEP vs. Life-of-loan
  • Weighted average to estimate time horizons

Speaker: Prashant Dinodia, Director – Risk Advisory, FIS

15:30

Afternoon break

16:00

Leveraging & Adapting Existing Models for CECL  

  • What are the current issues with model production in general and the CCAR experience? 
  • Gap analysis
  • Provision Matrix Models
  • Probability – of – default methods
  • Enhancing frameworks to address gap

Speaker: Sri Lakamsani, Head of Loss Forecasting & CCAR, Citi

17:30

End of day one

Day 2

Thursday 24th May 2018

09:00

Refreshments

09:30

Stress Testing Under CECL

  • The use of preliminary CCAR models for stress testing
  • Business lines creating allowance compared to the centralized allowance team
  • Ensuring consistency & growth; running CECL as CCAR
  • Using CCAR models for allowance
  • What have we learned from IFRS9 to help meet CECL deadlines?

Speaker: Julio Rivera, VP, Director of CCAR and CECL Model Implementation, Production & Reporting, US Bank

11:00

Morning break

11:30

Model Risk Management for CECL Models

  • Data - why data is key for CECL 
  • Methodology 
  • Segmentation
  • Governance

Speaker: Nav Vaidhyanathan, Group VP Model Risk Management , M&T Bank

12:30

Lunch

13:30

Discounted Cash Flow 

  • DCF overview
  • Using loss forecasts
  • Viability of data
  • Ensuring the CECL reserve is correctly established

Speaker: Kenneth Chen, Senior Manager, EY & Matthew Noll, Senior Manager, Capital Management & Credit Risk, EY

15:00

Afternoon break

15:30

Lessons learnt from IFRS9  (evolving)

  • Long implementation cycles
  • Facing the challenge as a team and ring fencing resources
  • Macroeconomic drivers and sensitivity analysis
  • Learn validation techniques to understand potential limitations

Governance

  • Complete governance around CECL process
  • Current ALLL framework adapted – where are the deltas?
  • Impact analysis – What type of analysis should be done?
  • Decision and assumptions vetting
  • Beyond CECL – CECL into DFAST 

Speakers: Srinivasan Iyer, Director, Industry Consulting Risk Research and Quantitative Solutions, SAS Insitute Inc& Murilo Brizzotti, Principal CECL/IFRS9 Lead at Risk Research and Quantitative Solutions, SAS Institute Inc

17:30

End of course